Mission Within the Market RISQ department, The GRM (Global Risk Methodologies) team is in charge of - the regulatory models for counterparty risks (EEPE, VaR on CVA) and market risks (VaR, Stressed VaR, IRC and CRM) for the entire trading portfolio. - the standard methodologies for capital requirements and for economic models to monitor counterparty credit risk (net and gross CVaR, CAR, Country Risk, etc.). - designing the stress test methodologies, to meet the regulatory requirements for internal monitoring purposes. In addition, the GRM team plays a key role within RISQ/RMA and for the given the current regulatory context and topics and their strategic impact on . The local team as part of the global GRM team assignments: - Designs and animates the reflections on current and future methodologies covered by the team: In this function, the modeler may be asked to propose methodological approaches and / or to facilitate and coordinate reflections more generally within the RISQ / RMA / GRM department. - Works on the major regulatory changes to come to ensure model ongoing monitoring according to regulator's requirements - Intervenes as sponsor or contributor for RISQ / RMA on cross-asset class projects: TRIM counterparty et TRIM Market, FRTB and other topics - Ensures the consistency of market risk and counterparty risk metrics between asset classes and processes covered by the team - Contributes to the regulatory watch on market and counterparty risks, participate in discussions and exchange with our peers. Transmit regulatory culture within the Bank. Participate to regulatory watch and lobbying. The local team is specially handling the following topics at target: - Computation of the Counterparty credit risk profile (CVaR) for exotic payoffs (already in India) - Backtesting of the market risk metrics - Ongoing monitoring tasks on market and counterparty credit risk metrics - Calibration of the diffusion volatilities for CCR model. Role As the manager of the BGL team of RISQ/RMA/GRM, the manager oversees planning and coordination and, when needed, leading topics related to the modeling of counterparty risks, market risks or cross risks, specifically according to regulatory changes and team priorities. The position includes the management of a 13-15 people team at target, with help of a manager/deputy reporting to him. The team has currently 8 positions. It will expand to 13-15 in 2022.The position will include attending the Global Management committee of GRM every two weeks. In addition to above assignments, on the perimeter covered by the team, as a manager you need to ensure the team role: - ensuring that the monitoring and control tasks are carried out in a timely manner and with the required level of quality; - Ensuring the maintenance of the documentary corpus by the different modelers; - Ensuring contribution to some modeling work, providing perspective and expertise on modeling topics; - Collaborate closely with other GRM teams located in Paris &amp; US - Be the referent for model users on ongoing monitoring of CCR model, specific payoff, Back Testing of VAR &amp; Back Testing of Mark To Futur - . Etc. the team is also in charge of the process efficiency &amp; its robustness. As a manager you will also be responsible for: - Contribution to the organization of the work of the team according to the priorities defined and the regulatory or internal requirements; - HR management of the local teams: evaluations, recruitment, training, mobility, .. of employees - Achieving financial objectives by preparing an annual budget, scheduling expenditures, analyzing variances, and initiating corrective actions Requirements background - Postgraduate Degree in Finance/Banking/MBA/CFA/FRM - 15 years in the industry with at least 5 years of experience on modelling and management Soft skills - Position requiring a high degree of autonomy - Analytical and synthesis capacity. - Managerial skills - Structured approach - Rationality - Pro- activity, commitment - Good communication - Team spirit. - Good understanding of statistical methods - Demonstrate effective problem solving and analytical skills - Ability to pay attention to detail, pro-active, critical thinking Technical - Quantitative profile - Good experience &amp; knowledge in counterparty and/or market risk. - In-depth knowledge of the regulatory environment - Knowledge of financial products and valuation models of market instruments: Monte Carlo techniques, EDP, .. Strong modeling skills (dissemination process, statistical modeling, data analysis ...). - Ability to prioritize considering risk analysis - Position requiring a good capacity of formalization and documentation

Bangalore

AVP/VP - Quant/Market Risk/Counterparty Credit Risk - VaR Modeling - Capital Market Products 

AVP/VP - Quant/Market Risk/Counterparty Credit Risk - VaR Modeling - Capital Market Products  ,Job Description for AVP/VP - Quant/Market Risk/Counterparty Credit Risk - VaR Modeling - Capital Market Products  in Black Turtle in  Bangalore for (10-20) years of experience. Apply Now!

Job Description for AVP/VP - Quant/Market Risk/Counterparty Credit Risk - VaR Modeling - Capital Market Products  in Black Turtle in  Bangalore for (10-20) years of experience. Apply Now!