Credit Risk Quant Analyst - Investment Bank

Overall goal:

Development and implementation of quantitative methodologies to be used for market risk measurement as part of the Quantitative Impact Studies/ Fundamental Review of Trading Book)QIS/FRTB project.

To define and implement tactical revised methodology for all material non-modellable risk factors. 

Develop prototype standard rules capital calculation (sensitivity based approach) at group and trading desk levels. 

Main responsibilities and key tasks:

Development/adaptation of existing VaR & Risk Not in VaR (RNiV) methodologies in order to be used to measure market risk for non-modellable risk factors and standard rules calculations under the proposed FRTB rules.

Evaluate the impact of the new capital rules

Implementation of quantitative methodologies, which are used to measure market risk under QIS/FRTB.

Liaison with other members of SRM regarding the QIS project.

Skills:

0.6- 2yrs Exp

The candidate should have at least a first degree qualification in mathematics/statistics, physics, engineering or finance/econometrics and good skills with:

PhD/ MSc from Tier I institute

Mathematics and programming

Financial products, including financial derivatives, market risk.

Microsoft Excel/VBA

Written and verbal communication

Interested candidates please send your updated CV, current CTC details and Notice period in cover letter.

Hamsa.S