Assistant Vice President/Vice President - FRTB Model Development - Investment Banking

Responsibilities:

- Perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).

- 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.

- Ensure that the FRTB SA & IMA models meet their stated objectives by building robust SBA, RRAO, SA DRC, Risk factor eligibility test tools, NMRF SES, IMA DRC and IMA ESF methodologies.

- Development of proto-type models related to Model performance Monitoring of FRTB 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 deal analysis/RWA driver analysis/NMRF Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.

- Build FRTB based What-If prototype tools in collaboration with Business / Risk Managers for new portfolio / hedge impact analysis

- 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.

- Need to handle stakeholder requests (typically FO and Risk Managers) on RWA optimization and What-

If analysis. This would involve:

- Working with stakeholders across different timezones to understand their requests

- Running and explaining "What-If" scenarios (e.g. different split of IMA/SA desk scenarios, pre-trade capital impact etc.)

- Understanding of capital allocation methodologies (e.g Euler) to accurately identify key drivers of capital

- Preparing the necessarily materials to explain the results

- Presenting the results to stakeholders

- Support with building tools that help in making the above processes more time-efficient

- Holding technical workshops to educate stakeholders on how FRTB SA and IMA models work

Mandatory:

Domain:

- Experience with handling stakeholder requests (typically FO and Risk Managers)

- Strong Market Risk RWA modelling background (preferably on FRTB SA and IMA models) and coding skills in Python

- Good in SQL / Excel. Even basic ability is acceptable.

- Gitlab understanding.

- VaR / Greeks / clarity in risk management.

- 8-10 years of experience in Market risk with good understanding of risk modelling.

- Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.

- Good understating of financial products (Bonds, Derivatives)

Desired:

- Actuaries (Cleared at least 5 CT papers) would be advantage

- FRM/PRM/CFA certification would be added advantage