Assist in defining and implementing all methodological improvements for portfolio market risk metrics. This includes: - Perform regular calculations and analysis on model performance metrics for the VaR, Risk Not in VaR (RniV) and FRTB models. - Perform regular data quality review on inputs to market risk models. - Perform regular calibration on credit idiosyncratic add-ons to the VaR model. - Produce the VaR model performance packs for SCB Group and other key subsidiaries. - Testing production systems for VaR/ES model changes, system migrations and new products - Assist in the development of VaR and RniV models. - Support risk managers in queries related to VaR and other portfolio risk metrics. - Maintenance and enhancements of existing VaR, stressed VaR, RniV and IRC models. - Education: MSc in a quantitative scientific subject including statistics and a research element; have academic and/or professional experience in data analysis and simulation methods; - Have a good understanding of market risk and traded products; - Be able to communicate technical concepts clearly both verbally and in written documents; - Be able to work effectively with risk managers and other stakeholders.

Bangalore

Market Risk Role - Banking 

Market Risk Role - Banking  ,Job Description for Market Risk Role - Banking  in Pylon Management Consulting in  Bangalore for (2-6) years of experience. Apply Now!

Job Description for Market Risk Role - Banking  in Pylon Management Consulting in  Bangalore for (2-6) years of experience. Apply Now!