Market Risk Model Development Role - FRTB (6-10 yrs)

FRTB Market risk Model development

Edu: MBA, MS, MSc in economics/Maths/Physics, MTech, PHD

Mandatory Skill: Traded Risk, Value at risk, FRTB, Risk not in Var, IRC, Stochastic calculus, Back testing, Statistical modelling.

- Worked on regulation in particular with FRTB, performed Bank wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).

- Ensure that the FRTB IMA models meet their stated objectives by building robust risk factor eligibility test tools, NMRF SES and IMA ESF methodologies (expected shortfall methodologies).

- Have been involved in development and periodic update of proto-type models with special attention to the model related to Market risk VaR.

- Involved in creation of 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.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

- Have been involved in co-ordination across teams to on-board new products & desks onto the FRTB strategic capital calculation framework.

- Involved in periodic review and calibration of model parameters.

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value.

- Candidate should have theoretical understanding in Pricing- Derivatives/ Product Control and hedging models with focus on Interest rate, Equity, FX products.

- Candidate should have experience in Stochastic Volatility modeling, calibration etc.

- Knowledge of internal procedures and local regulations and those of other country regulators would be an advantage.

- Worked on regulation in particular with FRTB, performed Bank wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).

- Ensure that the FRTB IMA models meet their stated objectives by building robust risk factor eligibility test tools, NMRF SES and IMA ESF methodologies (expected shortfall methodologies).

- Have been involved in development and periodic update of proto-type models with special attention to the model related to Market risk VaR.

- Involved in creation of 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.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

- Have been involved in co-ordination across teams to on-board new products & desks onto the FRTB strategic capital calculation framework.

- Involved in periodic review and calibration of model parameters.

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value.

- Candidate should have theoretical understanding in Pricing- Derivatives/ Product Control and hedging models with focus on Interest rate, Equity, FX products.

- Candidate should have experience in Stochastic Volatility modeling, calibration etc.

- Knowledge of internal procedures and local regulations and those of other country regulators would be an advantage.