Associate/Senior Associate - Risk Methodologies - Bank

Associate/Senior Associate - Risk Methodologies @ Global Bank

ROLE :

- Our client, a leading global bank, is looking for Associate / Sr Associate - Risk Methodologies for its offices in Mumbai. The role is aligned with capital and ratings methodology team within the broader risk methodology function, which develops and enhances risk models in line with internal and regulatory requirements (to backtest VaR against hypo and clean P&L), owns risk models for computing firm-wide capital adequacy, and works extensively on regulatory capital models including FRTB.

RESPONSIBILITIES :

- Responsibilities include work on projects related to regulatory capital models like FRTB, work in model validation and changes during implementation, work on model parameter calibration, creation of tools for offline calculation of risk related to economic capital, as well as leading projects like migration and new implementation.

REQUIREMENTS :

- Prospective candidate should come with 1 to 3 years experience in credit risk/market risk modeling, high level of understanding of calculus/statistics/probability / linear algebra, with experience in Python / Matlab / SQL / VBA, knowledge of financial products (derivatives, bonds), with Ph.D./MTech/BTech/BE in a numerate field, with a preference for FRM/PRM/CFA certification.