Associate - Risk Methodology Quant Analyst

Job Title: Risk Methodology Quant Analyst

Functional Title: Associate

Division: Risk Methodology

Location: Mumbai

Responsibilities will include:

Methodology:

- Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

- Recalibration of model parameters which are used in the internal ratings based models for credit risk

- Recalibration of the period of significant financial stress for calculating SVaR

- Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model

- Theoretical backtesting for the performance measurement of internal models, in particular Value-at-Risk models

- Regular monitoring of the credit risk score quality for credit applications

- Data analysis and preparation for credit risk rating model development and parameter calibrations

- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses

- Work with CRM units to explain outcomes of the score monitoring and/or data quality / operation teams on artifacts detected in the model development data