Business Quantitative Analyst - IB Change - FRTB Regulatory Program

Business Quantitative Analyst, IB Change - FRTB Regulatory Program

Job Title : Business Quantitative Analyst, IB Change - FRTB Regulatory Program

Location : Poland

Experience : 4+ years

Job Duties :

The IB Change team in Mumbai is looking for a Quantitative Analyst to support front to back alignment, business analysis and project execution across the FRTB program.

The ideal candidate will meet the defined attributes for the role and be hands-on and have strong passion and drive for change including the ability to pro-actively engage with trading business, market risk, and technology and work stream partners in solution design and definition.

- Understand risk models (VaR & RNIV) currently in use and proposed changes under FRTB regulations.

- Understand and be proficient in the use of FO QS and GMAG Analytics.

- Implementation and testing of quantitative methodologies used for market risk capital calculation.

- Implementation of tactical methodologies for material risk factors, both modellable and non-modellable, Risk Theoretical Pnl and specific risk.

- Understand and implement prototypes for Standard Rules calculator

- Liaison with MRM, CFO, FO and the FRTB Program

Qualification : Master's degree in mathematics, financial engineering, computer science or computer science

Skills Required :

- The candidate should have a Master's degree in mathematics, financial engineering, computer science or computer science.

- The role would suit a candidate with 4+ years internal/ external experience working in quantitative risk management and regulatory programs.

- The candidate should have a very good understanding of financial mathematics and in particular derivative instruments and the risks that they generate.

- Communication skills are also essential.

- The candidate should be able to explain complicated concepts clearly and present their work in a clear and precise manner.

Specific skills include :

- Excellent Market Risk knowledge (e.g. VaR methodologies, capital calculations and market risk processes)

- Excellent communication skills - both written and verbal.

- Strong analytical and problem-solving skills

- Strong attention to detail

- Understanding of systems and data architectures in Risk and preferably in Market Risk and FO risk,

- Strong quantitative and programming skills, including VBA, C++

- Understanding of financial products, including derivatives pricing and drivers of market risk.