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Recruitment Analyst at Xcelyst Ltd
Views:248 Applications:39 Rec. Actions:Recruiter Actions:28
FRTB Market Risk Role - BFS (3-7 yrs)
- Prior experience on Market Risk Model validation or development/Methodology
- Experience with modelling/ Validation FRTB components like:
- NMRF ( Non Modellable Risk Factor),
- RFET(Risk Factor Eligibility tests),
- IMCC (Internal Model Capital Charge)
- PLAT (P&L Attribution test)
- FRTB SBA (Sensitivity Based Approach)
- DRC (Default Risk Charge)
- RRAO (Residual Risk add ON) are preferrable
- Work on reconciliation projects - compare outputs of FRTB IMA system with existing VaR model and work with BAs to close any gaps
- Strong quantitative background - Masters/ PhD in Numerates (Physics, Engineering, Economics, Financial mathematics)
- Should be able to take initiative and have attention to detail
- Good documentation skills
- Should be able to tap in to knowledge base of his/her organisation to help with project deliveries
- Excellent programming skills in Python (Pandas & OOP)
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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