Senior Analyst/Associate - Quant - Traded Risk Model Management - BFSI

Senior Analyst/Associate

The Role :

- If your expertise lies in Model Management that encompasses model development, validation, maintenance, risk, and performance testing, a position as Quant Senior Analyst is ideal for you. In this role, you will be ensuring that RBS uses the correct and appropriate Counterparty credit risk and Market Risk models.

- To qualify for this role, you will need to have an advanced degree in a quantitative discipline

What the Business Does :

- This role is based in the MRPI - Traded Risk Model Management at the Models and Methodology division reporting to the Quant Lead.

The Model Management team has the mandate to act as the 1st line of defense for underlying Model Risk for all Traded Risk Models.

Your Responsibilities :

As Quant Senior Analyst, your responsibilities will include :

- Conducting periodic Model performance testing & submitting a detailed analytical report on the suitability of the model for capital computation

- Conducting and enhancing projects such as SEEP window bench-marking, long term model validation and improving the VaR model for capturing RNIVs

- Engaging all relevant Model Users and the Broader Quant Team for knowledge sharing and issue remediation

- Communicating the dependencies and issues with team management and stakeholders and improving the process to make it more effective

- Raise and drive issues related to deadlines, data quality and system limitations independently

Skills you need :

- Strong understanding and experience of mathematical and statistical modeling

- Good IT and computer skills, including knowledge of MS office, R and other statistical packages

- Good understanding of risk management principles within Financial Services

- Deep knowledge of traded products and risks associated with those

Purpose of the Role :

Model Management team has a mandate to act as 1st line of defence for underlying Model Risk for all Traded Risk Models.

Following are the steps involved :

Model Validation : This includes reviewing new models/enhancements/ change control/release sign-offs.

Model Maintenance : Periodic parameter updates.

Performance Testing : Back testing exercise to meet both internal & regulatory requirements.

Documentation : Carry out quantitative studies & reviews. Presentation to wider Risk teams.

Model Risk : Identify all sources of underlying Model Risk. Implement Group Model Risk policy for Market Risk

- Model Development & Enhancement as applicable

- Conduct periodic Model performance testing & submitting a detailed analytical report on suitability of the model for capital computation.

- Will require conducting & enhancing projects such as SEEPE window benchmarking, long term Model validation, Improvement in VaR model for capturing RNIVs etc.

- Carry on periodic parameter updates.

- Suggest & implement new methodology driven solutions around team activities.

- Identify & Document all sources of Model Risk that can impact the output of the model.

- Good quality ad-hoc analyses to support and at the request of users of the risk models.

- Engage all relevant Model Users & Broader Quant Team for knowledge sharing & issue remediation.

- Maintain & Create methodology documents.

- Clearly communicate the dependencies & issues with team management & stakeholders.

- Look to improve the process to make it more effective & accurate.

- Raise & drive issues related to deadlines, data quality & system limitations independently.

- Supervision & quality assurance of the work done by Analysts.

- Represent & present the analysis in wider forum as team's representative.