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A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
Develop the Internal Models Approach (IMA) based methodology under FRTB (Fundamental Review of Trading Book) framework and ensure compliance with the latest regulatory rule set prescribed by BCBS (Basel Committee on Banking Supervision)
Participate in the QIS (Quantitative Impact Study) to estimate the Market Risk RWA impact for the firm under the proposed framework
Deep analysis of various risk types across multiple asset classes like Equity, FX, GIRR, Credit etc. along with Non-Model able Risk Factors (NMRF) computations covered under FRTB-IMA rules
Study the alternative methodology (Standard Rules Approach) impacts and compare the results with the IMA based method to arrive at an optimum level of capital utilizing both approaches
Ensure that process is adequately documented for both internal testing and further improvement purposes
Collaborate with the strategic stream - methodology developers, data streams, system owners and IT analysts to implement the model as it goes live
Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications
You have at least 2-3 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is required
You have a first degree in mathematics, physics, econometrics, statistics or engineering.
You 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
You have deep knowledge of risk issues and investment products, together with some programming skills would be also desirable
You are knowledgeable in MS Excel and VBA skills is highly preferred. Experience in C#/Python is highly valued
You have the ability to work well in a team and building positive relationships
You have the ability to manage high quality and accurate work, under a tight deadlines
You have willingness to question and challenge the status quo and ability to provide alternative approaches
Understands the value of diversity in the workplace and is dedicated to developing a versatile culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.