Risk Methodology Role - Back Testing - BFS

Job Description :

- Daily Back testing of firm's internal VaR model and related analysis at entity as well as desk level. It also involves detailed analysis across product classes and risk factors - SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the back-testing/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product classes

- Good understanding of risk factors, sensitivity, valuation and trade lifecycle

- Working on various regulatory driven weekly, Monthly and quarterly tasks which also involves reporting to external regulators and senior stakeholders

- Work on various related development projects including automation/migration of existing model to Python, PowerBI based EUC and maintain proper documentation by using tools such as Gitlab

- Create strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers

- To act as a subject matter expert for the risk models and providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models

- Involves lot of interaction timely with senior stakeholder across divisions such as Front office Quants, Finance, IT etc

- Complete BAU as per predefined framework and to meet SLA