Job description :

The person will be required to work on one or more of the risks and compliance models for global Investment bank which are following:

- Analysing Value-at-Risk (VaR) / risk exposure, Risk Not in VaR (RNIV) estimation and reviewing risk positions. Escalating material risk when necessary

- Assisting in building out a more detailed threshold framework for the Equity/IR/FX/MBS, CMO, CLO Derivatives business, and stress scenarios

- Good understanding of Volatility risk factors across asset classes (ATM Volatility, Skew, Smile) and their sensitivities

- Understanding of RFR (ESTR/SOFR) benchmark curves and impact of migration from LIBOR

- Deep understanding of risk attributions using Taylor's series approximations and cross impact of risk factors

- Understanding of partial revaluation, Full revaluation and sensitivity based VaR computations.

- Good understanding of pricing products across asset classes-Interest Rates, FX, Equities and Credit

- Monitoring and Estimation of correlation RNIV (Equity/Equity, Equity/FX) risk in the Derivatives business

- Working with the Market risk team for quantifying monthly reserves

- Understanding of SIMM Backtesting procedures and RNIS calculations

- Execute the data analysis involved in the RNIV calculations

- Performing analysis of impacts of major drivers contributing the change in RNIV

Important responsibilities in this role will include:

- Conduct model risk analysis, stress testing and other tests under different scenarios

- Writing quarterly RNIV and RNISIMM reports

- Writing Model methodology reports for any Model changes

- Provide regular updates to Senior Management Team and other key stakeholders with regards to progression against assigned deliverables evalueserve.com - 2019 Evalueserve. All rights reserved.

Skill Set :

Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development

- Strong analytical background and understanding of Derivatives product (all asset classes) attributes and risk profiles

- Knowledge of risk profile of Exotic Options for all the Asset classes

- Thorough knowledge of all pricing models, VaR and RNIV models used

- Ability to understand and quantify the missing risk

- Experience in usage and retention of volatility surface time-series data, surface normalization, pillar extrapolation/interpolation methods

- Experience with the Murex platform is preferred

- Strong knowledge in one or more of the following programming languages: Python, VBA / DB

- Ability to articulate ideas and make recommendations.

- Proficiency in developing and giving presentations.

- Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels

- Strong analytical and interpersonal skills

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