Default Risk Charge Role - Quant Developer/FRTB Prototyping - BFSI

Default Risk Charge - Quant Developer, FRTB Prototyping for Banking & Financial institution

We have an opening for FRTB prototyping - DRC Quantitative Developer for Bangalore location .

Business : Global Risk Analytics

Role Title : Default Risk Charge - Quant Dev, FRTB Prototyping Workstream

Role Purpose :

- Improve market risk framework by providing analytics-based measures of risk for global Traded Risk portfolios.

- This is a role responsible for leading the development and maintenance of default risk models and methodologies for more accurate traded risk measurement and management. The core objectives are to:

- Drive the implementation of default risk models

- Coordinate projects dedicated to ensure consistency across sites

- Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose

Role Dimensions :

- The job-holder's responsibilities cover all Market Risk methodologies and model-related policies.

- Headcount reporting to this role

Knowledge & Experience / Qualifications :

- Strong analytical skills. Minimum Masters level in Math/Science/Engineering discipline

- Relevant working experience in either Risk Management or quantitative modelling of market risk for credit and equity asset class

- Ability to lead, manage and successfully deliver projects within the agreed time scale, in liaison with all relevant stakeholders: model owners, credit, business, IT, senior management and regulators.

- Good understanding of statistics and familiarity with sophisticated tools for numerical analysis (eg. Matlab).

- Clear and demonstrable familiarity with Incremental Risk Charge (IRC)

- Open personality and effective communication skills, ability and flexibility to work in an international team

- Ability to write clear and understandable documents

Programming Skill : c++, matlab, R

Furnish following details in resume while applying :

Total Experience :

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Reporting to :

Handling a team of :

Tejashree Waradkar
Dir No: +91 22 66848548