Senior Quant Analyst - Model Management - BFSI

Job Title : Quant Senior Analyst

Job Location : Gurgaon

The Role :

- If your expertise lies in Model Management that encompasses model development, validation, maintenance, risk, and performance testing, a position as Quant Senior Analyst is ideal for you. In this role, you will be ensuring that RBS uses the correct and appropriate Counterparty credit risk and Market Risk models.

- To qualify for this role, you will need to have an advanced degree in a quantitative discipline.

What the Business Does :

- This role is based in the MRPI - Traded Risk Model Management at the Models and Methodology division reporting to the Quant Lead.

- The Model Management team has the mandate to act as the 1st line of defense for underlying Model Risk for all Traded Risk Models.

Your Responsibilities :

As Quant Senior Analyst, your responsibilities will include :

- Conducting periodic Model performance testing & submitting a detailed analytical report on the suitability of the model for capital computation

- Conducting and enhancing projects such as SEEP window bench-marking, long term model validation and improving the VaR model for capturing RNIVs

- Engaging all relevant Model Users and the Broader Quant Team for knowledge sharing and issue remediation

- Communicating the dependencies and issues with team management and stakeholders and improving the process to make it -more effective

- Raise and drive issues related to deadlines, data quality and system limitations independently

Skills you need :

- Strong understanding and experience of mathematical and statistical modeling

- Good IT and computer skills, including knowledge of MS office, R and other statistical packages

- Good understanding of risk management principles within Financial Services

- Deep knowledge of traded products and risks associated with those