Vice President - Risk Methodology - BFSI

The objective of the RM Financial Engineer (Team Head) is to build and lead a regional team of analysts which are part of the global Risk Methodology department. As this team is still in a building phase, the activities of the Financial Engineer (Team Head) are expected to change over time. In particular, with the right person on board, we expect that the responsibility of the Team Head would quickly expand to cover activities which are outside the core mandate of Risk Methodology, namely in the interaction with other functions like Market Risk Analysis, Portfolio Stress testing, Portfolio Management as well as Market Data and Data quality teams.

Reporting line will be into the Regional Head of Market Risk Management, India as well as into Risk Methodology in Europe.

Responsibilities will include :

Methodology :

- 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 backtesting 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

Project management :

- Monitor and prepare for key milestones for the department, e.g. delivery into Holistic Validation of internal models, timely recalibration of model parameters

- Support for Model Risk Management related tasks like model tiering, model inventory set-up etc

Liaison with Key Partners :

- Interface with Risk Methodology teams in Europe, in particular the team heads

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

- Work with Market Data team to extend theoretical backtesting 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

People management :

- Hire and train staff

- Responsible for staff development

You will have :

- High professional and ethical standards.

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

- Several years of experience in a banking or consulting environment

- A quantitative university degree

You will be :

- 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 oral.

If you find it is suitable then please APPLY WITH YOUR CV with below detail or provide me a reference

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Handling a team of :

Tejashree
Team Leader
Black Turtle.
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