Director/Senior Manager/Manager - FSRM - Market Risk Methodology

Urgent opening for Director/Senior Manager/Manager - FSRM - Market Risk Methodology for Mumbai location .

Key Responsibilities

- 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 back testing 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

- Leading a team of junior resources

- Interface with Risk Methodology teams in Europe

- Work with Market Risk Analysis to explain outcomes of internal models

- Work with Market Data team to extend theoretical back testing to more recent time periods

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

Candidate Requirements

- High professional and ethical standards.

- A 'can-do' attitude and a delivery focus.

- experience in a banking or consulting environment

- A quantitative university degree

- A strategic and analytical thinker.

- Highly professional and ethical.

- A strong team worker with an ability to build strong business and team relationships.

- Able to respond to changing priorities and work to urgent demands.

- Proficient in the English language, both written and verbal.

If you find it is suitable then please send me your updated CV with below detail or provide me a reference .

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Tejashree
Team Leader
Black Turtle.
A-405, 4th Floor , KIC -Parksite, Vikhroli(West), Mumbai 400079,India
Dir No: +91 22 66848548|Mob No .8454843560