Sr Quantitative Analyst/Lead Analyst - Risk Management

Candidates Should be open for both the Location Either Mumbai or Pune -

At least 3 years- experience in quantitative risk management in financial services.

- Contribute to methodology and implementation of Incremental Risk Charge (IRC) methodology to comply with new rules (Fundamental Review of the Trading Book)

- Focus is on the calculation of the capital charge for default risk in the trading book under the Standardised Approach (SA) for the quantitative impact study that the Basel Committee of Banking Supervision runs.

- Run tactical calculation process, including sourcing of data and adjustment of calculation as necessary.

Qualification:

- PhD or Master's degree in a quantitative subject, ideally with a strong curriculum in quantitative finance or similar

Skills Required:

- Work experience in credit risk modelling, ideally in FRTB IDR IRC, calculation of SA for credit risk under FRTB.

- Good understanding of credit risky instruments in the trading book.

- Understanding of the Basel II Accord and its standardised charges for credit or market risk.

- Experience with Basel II, FRTB IDR AND SA for default risk or SA for credit/market risk in Basel II