Senior Assistant Vice President - Market Risk/FRTB - Investment Bank

Hiring for one of the leading Investment banks

Responsibilities:

1. Participate in the QIS (Quantitative Impact Study) to estimate the Market Risk RWA impact for the firm under the proposed FRTB (Fundamental Review of Trading Book) framework.

2. Seek to ensure that process is adequately documented for both internal testing and further improvement purposes leading to convergence with a strategic solution.

3. Coordinate with the strategic development stream - methodology developers, data streams, system owners, and IT analysts to implement the model as it goes live. Work on testing, prototyping, and understanding outputs.

4. Assist in preparing presentations for senior management covering change impacts, methodology features, and capital implications.

5. Deep analysis of various risk types across multiple asset classes like Equity, FX, GIRR, Credit, etc. computations covered under FRTB-IMA rules for Expected Shortfall and Non-Modellable Risk Factors (NMRF) components.

6. Study the SA methodology (Standard Rules Approach) impacts for various asset classes and compare the results with the IMA-based method to arrive at an optimum level of capital utilizing both approaches.

Responsibilities:

1. At least 3-5 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is required

2. First degree in mathematics, physics, econometrics, statistics, or engineering.

3. Hold a higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage

4.Proficient in Risk issues, Greeks and Investment products

5. Work well in a team and building positive relationships

6. Manage high quality and accurate work, under a tight deadlines and thrive under pressure

Interested candidates can share their resume to :

connect on 7410033329