Risk Methodology Role - FRTB ORCA Team - Investment Bank

- The role will be in the FRTB-ORCA team within RMG, which performs capital analysis for the upcoming regulatory regime

- The candidate will play a key role in carrying out internal/regulatory QIS exercises using RMG's python based library

- Perform bespoke analysis on the FRTB model and assess implications for the firm, like SBA-IMA boundary scenarios, NMRF optimization

- Develop/optimize tools (like new trade what-if/ Marginals/ Incrementals) for various stakeholders. Co-ordinate with other RMG members/IT for strategic implementation of these tools

- Assist in various FRTB related analytics (portfolio optimization exercises/ identify capital drivers etc.)

- Participate in teams efforts on strategic implementation of the SBA model

- Participate in backtesting of risk models mainly Value-at-Risk (VaR) and Standard Initial Margin Model (SIMM)