Market Risk/Black Scholes Modelling Role - FRTB/Consulting - Bank

Location: Bangalore

Position : Market Risk / FRTB

Location : Bangalore

Knowledge of the following subject areas:

1- Good Understanding about the various Greek Sensitivities and VAR models.

2- Strong Understanding about bank-wide regulatory requirements like FRTB, Volcker,CCAR, BCBS239 projects and their purpose of implementation.

3- Have done projects on FRTB .

4- Should be comfortable for Travelling @ client place.

5- Analysis of attribution results as per FRTB guidelines so that the banks can use IMA for capital requirements.

6- Modeled risk measures : market and counterparty credit risk model risk development, management, and/or related business processes for market risk.

7- Stress testing : market risk stress testing, regulatory stress testing (e.g. Comprehensive Capital Analysis and Review), including the Global Market Shock risk weighted asset projections, and pre-provisional net revenue projections

8-Should have good experience working on pricing models majorly on black scholes model,monte carlo model.

Please mention :

Current Ctc :

Expected Ctc :

Relevant Experience :

Counter offer :