Crisil - Market Risk - IRC

Segment - Market Risk

Requirement

- Individuals with credit portfolio experience, ideally IRC if possible.

- Resource to support methodology development for default risk (non-sec products) under the standards rules of FRTB.

Typical job description

1. Developing and maintenance of IRC models (including both mathematical and risk modelling aspects and business liaison aspects (e.g. dealing with internal and external stakeholders and regulators on the model), thus being the point of contact firm-wide on IRC methodology.

2. Analysis and reporting - sensitivity of risk calculations to market events (including stress testing for tail events)

3. Coordinate with global risk managers to understand changes in risk and capital measures

4. Coordinate re-runs to ensure accurate quarterly risk reporting to the regulators.

5. Participate in projects (such as assisting in analysis and testing of changes in methodologies and systems)

6. Contribute to the delivery on major regulatory initiatives related to IRC methodology. Assess and implement new modelling and process requirements in a highly changing regulatory environment

7. Take part in methodology development in related areas, in particular the Credit Economic Capital model.

8. Regular interaction and visibility with a wide range of stakeholders across the bank, particularly from Market Risk Management, Front Office, Reporting, IT and Regulatory coordination.

Skillsets required

1. Academic background in finance / economics or a quantitative field

2. Strong analytical and communication skills

3. Understanding of the Basel II framework and the background to the IRC requirements

4. Affinity with IT (SQL, VBA, databases, etc.) would be an advantage