Global Risk Model - Quant Risk - BFSI

Responsibilities:

Development and periodic update of proto-type models with special attention to the model related to risk-not-in-VaR.

Maintain upto date and accurate model documentation and ensure appropriate controls in the model proto-type.

Liaise with Model validation group (MVG) for validation of the model.

Periodic calibration of model parameters.

Implementation of risk models into strategic risk system (this includes writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements)

To act as a subject matter expert for the risk models and provide support to the model users (i.e. Risk managers)

Perform model backtesting and related analysis. Investigate the backtesting breaches and provide technical explanation for the same.

Work on the prospective regulation i.e. FRTB. Perform firm-wide plus desk level analysis to assess the impact of new regulation.

Skills:

Knowledge of Derivatives

Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics, Econometric) only OR IIT Dual degree (Finance) with relevant work experience.

4 - 8 years of experience in developed pricing models or risk models involving derivatives.