Quant Analyst - Market Risk & Pricing Model Validation - Bank

Quant Analyst - Market Risk & Pricing Model Validation

- Must Have-pricing model validation, Market risk model validation

- The Client is a leading global bank present in multiple locations. The role will require working closely with the market risk model development or validation team.

- The key responsibilities include understanding of the conceptual framework of current Basel III and Fundamental Review of the Trading Book (FRTB) rules and provide explanation of key market risk drivers (VaR, DRC, Expected Shortfalls etc.,). Liaise with teams from different geographies and risk groups across businesses to develop new tools and metrics for transparent FRTB calculation capabilities.

- Strong understanding of the qualitative issues within FRTB (SA and IMA approach)

- Identifying and documenting business requirements from key business stakeholders.

- Market risk models Expected shortfall, DRC, CVA, Back testing (SA and IMA)

- Should have working experience in multi asset classes and derivative pricing.

- Coding skills on R/Python and C++.

- Responsible for ensuring alignment/integration between work done on FRTB and the market risk infrastructure.

- Responsible to collaborate with wider Markets Risk and Technology teams in designing solutions.

- Prepare Methodology Document produced by the Quants/ methodology team act as a BRD and prototype for computations.

- Responsible for implementing FRTB requirements in a tight deadline.

- Project management of all analysis activities and support for UAT

- Senior business stakeholders management

- Contribute to methodological enhancements, including qualitative impact analysis.

- Flexibility to move to different projects

- Strong quantitative skills including algorithms, Modelling, and usage of advanced statistical techniques

- Experience in derivative pricing and exposure to asset class ( IR, FX, Credit and fixed income)

- Strong programming skills and pricing library

- Understanding of RWA data and processing specifically CCR and MR RWA

- Experience in Risk Management, market Risk, Liquidity Risk and Credit risk

- Experience in market risk implementations, experience in similar regulatory capital calculation implementations preferred.

- Good understanding and experience in risk calculation and market risk measure, models & methodologies.

- Good understanding about different regulatory requirements (including Basel III, SIMM, FRTB, CVA, )

- Good understanding of other Market Risk measurement techniques e.g. VaR, RNiVs, Economic Capital, IRC, ERC and Market data

- Prior experience on Derivative Products and Risk Scenarios, Stress testing

- Flexibility to move to different projects

- Excellent communication, documentation and presentation abilities required

Mandatory Skills : Masters in finance or similar degrees, FRM, CFA, PhD or CQF