Overview
AVP/ Vice President- Global Risk – Risk Methodology (FRTB)
Position Specifications:
Corporate Title: Vice President
Qualification: Master’s in a quantitative discipline (e.g., B.E/B.Tech + M.Tech, MSc in Maths/Stats/Physics, Econometrics)
Role & Responsibilities:
– Work closely with stakeholders including Front Office, Risk Managers, and IT on projects related to Regulatory capital models (e.g., FRTB).
– Perform firm-wide and desk-level analysis to assess the impact of new regulations and support quantitative impact studies (QIS).
– Act as a subject matter expert for risk models, including FRTB guidelines, providing support to model users and acting as a key point of contact.
– Ensure regulatory models meet their objectives by building robust methodologies for SBA, RRAO, SA DRC, Risk Factor Eligibility Testing, NMRF SES, IMA DRC, and IMA ESF.
– Develop proto-type models for Model Performance Monitoring of FRTB models.
– Implement risk models into the strategic risk system, including methodology development, prototyping, writing technical business requirements, model testing, and liaising with the model validation group.
– Create strategic tools for deal analysis, RWA driver analysis, NMRF Add-on, PnL Adjustment, and Backtesting using Python to facilitate FRTB implementation.
– Build FRTB-based “What-If” prototype tools in collaboration with Business and Risk Managers for new portfolio and hedge impact analysis.
– Participate in the periodic review of models and calibration of model parameters.
– Provide support during the validation of market risk models by the Model Validation Group and Audit.
– Handle stakeholder requests on RWA optimization and “What-If” analysis, which involves:
– Collaborating with global stakeholders to understand requests.
– Running and explaining “What-If” scenarios (e.g., IMA/SA desk splits, pre-trade capital impact).
– Utilizing capital allocation methodologies (e.g., Euler) to identify key capital drivers.
– Preparing and presenting results to stakeholders.
– Support the building of tools to make processes more efficient.
– Hold technical workshops to educate stakeholders on FRTB SA and IMA models.
Mind Set:
Domain Mandatory Desired
– Expertise in all FRTB capital models, PLA, and RFET. Hands-on experience with SA and IMA models.
– Experience handling stakeholder requests from Front Office and Risk Managers.
– Strong Market Risk RWA modelling background, preferably on FRTB SA and IMA models.
– Strong coding skills in Python. Proficiency in SQL/Excel.
– Understanding of Gitlab.
– Solid knowledge of VaR, Greeks, and risk management concepts.
– 8-10 years of experience in Market Risk with a strong understanding of risk modelling.
– Good understanding of mathematical concepts (probability, statistics, calculus, linear algebra).
– Good understanding of financial products (Bonds, Derivatives). – A strong Mathematical/Statistical background.
– Actuaries (with at least 5 CT papers cleared).
– FRM/PRM/CFA certification.
Core Competencies:
– Culture & Conduct: Professionalism, self-awareness, and a respectful attitude.
– Client-Centricity & Business Acumen: Strong product knowledge, accountability, detail orientation, and a solutions-focused approach.
– Strategy & Innovation: Stays up-to-date, demonstrates entrepreneurial thinking, and is open to new ways of thinking.
– Leadership & Collaboration: Shows initiative, leverages resources effectively, and provides logical rationales.
– Communication & Influence: Speaks and writes clearly, builds strong relationships, and demonstrates active listening.
– Execution & Delivery: Maintains a can-do attitude, sees tasks through to completion, and prioritizes effectively to meet deadlines.