Assistant Manager TA at Evalueserve
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Evalueserve - Manager/Group Manager - RNIV/RNIS (4-10 yrs)
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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