Market Risk Role - Investment Bank

Top Tier investment Bank in Mumbai is hiring for Various Market Risk Roles.

Client Name: Leading Investment Bank

Roles

1) Market Risk Analytics:

- Deliver analysis and explains of VaR, SVaR, IRC, CRM, limit breaches, VaR back testing, RWA and EC

- Stress testing analysis, explain and specifications

- Ad hoc (- What-if- ) analyses e.g. VaR/EC/RWA impact of new trades

- Provide analytical support to Risk Managers to facilitate risk management / business decisions.

- Contribute to methodological enhancements, including quantitative impact analysis

- Develop reports to facilitate robust risk management practices

2) Market Risk Methodology

- Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

- Recalibration of model parameters which are used in the internal ratings based models for credit risk

- Recalibration of the period of significant financial stress for calculating SVaR

- Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model

- Theoretical backtesting for the performance measurement of internal models, in particular Value-at-Risk models

- Regular monitoring of the credit risk score quality for credit applications

- Data analysis and preparation for credit risk rating model development and parameter calibrations

- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses

- Work with CRM units to explain outcomes of the score monitoring and/or data quality / operation teams on artefacts detected in the model development data

Let me know if interested to explore.