Senior Leader Model Development FRTB - An Exciting opportunity to lead a model development team for FRTB Implementation in the Methodology team with one of the leading Investment bank in Mumbai. - You have strong modelling experience. - You have worked for more than 3 years for an FRTB modelling team. - Keen to be part of the implementation process. Some of the key responsibilities will include: - Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (e.g., Basel, FRTB). - Work on the prospective regulation i.e., FRTB, perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS). - Lead and delegate work within assigned team along with individual contribution on FRTB and other projects. - Ensure that the FRTB IMA models meet their stated objectives by building robust risk factor eligibility test tools, NMRF SES and IMA ESF methodologies. - Act as a subject matter expert for the risk models including an understanding of FRTB guidelines and providing support to the model users (i.e., Risk managers) and be a key point of contact with respect to such models. - Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group). - 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. - Participate in periodic review of models and calibration of model parameters. - Provide necessary support to team during validation of market risk models by Model validation group/Audit including any model change on an ongoing basis. To be eligible for this role you will require: - 9-12 years of experience either in Market risk with good understanding of risk modelling and team management experience - Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra. - Good knowledge of Python, SQL, MATLAB, VBA. - Good understating of financial products (Bonds, Derivatives) - Good understanding of ongoing banking regulatory requirements (BSBS) - A strong Mathematical/Statistical background. - Actuaries (Cleared at least 3 CT papers) would be advantage.

Mumbai

Senior Leader - Model Development FRTB - BFS 

Senior Leader - Model Development FRTB - BFS  ,Job Description for Senior Leader - Model Development FRTB - BFS  in Edge In Asia Recruitment Private Limited in  Mumbai for (9-12) years of experience. Apply Now!

Job Description for Senior Leader - Model Development FRTB - BFS  in Edge In Asia Recruitment Private Limited in  Mumbai for (9-12) years of experience. Apply Now!