30/08 Karan Madhok
Manager - Risk/Digital & Analytics Practice at Michael Page India

Views:889 Applications:18 Rec. Actions:Recruiter Actions:7

Vice President - Incremental Risk Charge Methodology - Quants - Financial Services - IIM/IIT/ISI (10-14 yrs)

Mumbai Job Code: 487469

About Our Client

Our client is a leading financial services organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, and are looking for a professional to help achieve their expansion plans.

Job Description

Reporting into the Head of Risk, you would be responsible for leading the Incremental Risk Charge (IRC) methodology team. You would be responsible for working on the development, implementation and maintenance of IRC and related credit portfolio models under various regulations including Basel 2.5 and FRTB.

Some of your key responsibilities shall include:

- Head the Incremental Risk Charge (IRC) Methodology Mumbai team managing a team of quants working on various aspects of IRC methodology development, implementation, and maintenance.

- Take ownership and responsibility of BAU tasks that team participates in and ensure high quality delivery within minimal issues.

- Coordinate with various stakeholders across the Bank, particularly from CRO Change, Market Risk Management, Front Office, Reporting, IT and Regulatory Coordination.

- Be responsible for presenting methodology changes in senior forums.

- Be responsible for training of stakeholders around methodology aspects.

- Gain in depth understanding of methodology and be able to provide guidance to the team and be able to resolve any queries IRC team receives around methodology aspects from market risk people.

The Successful Applicant

- You are a PHD/Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 10 years of experience

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- Extensive experience in Default and Migration Risk modelling, AIRB - LGD, PD Quantitative Market Risk including VaR modelling, ideally from within a model development, or other quantitative risk management function

- Hands-on experience in Derivative pricing techniques specifically in interest rates and credit

- Excellent understanding of VAR methodologies along with knowledge of regulatory requirements (FSA, EU/CRD and Basel/BIS)

- Proficient in C++/C#, R, VBA, advanced Excel

- Ability to demonstrate an understanding of capital modeling, financial and derivative products and mathematics

What's on Offer :

- Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.

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Women-friendly workplace:

Maternity and Paternity Benefits

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