Overview
FRTB Market risk model validation or development (no basic Market risk profiles)
No reporting profiles – these are modelling quant roles within market risk
FRTB Market risk model validation or development (no basic Market risk profiles)
NO data, reporting profiles on FRTB
Skills – FTRB modes (development and validation), Market risk, back testing, validation of pricing and valuation models, IRRBB
Qualifications:
– Worked on regulation in particular with FRTB, performed Bank wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).
– Ensure that the FRTB IMA models meet their stated objectives by building robust risk factor eligibility test tools, NMRF SES and IMA ESF methodologies (expected shortfall methodologies)
– Have been involved in development and periodic update of proto-type models with special attention to the model related to Market risk VaR.
– Involved in creation of strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.
– Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc
– Have been involved in co-ordination across teams to on-board new products & desks onto the FRTB strategic capital calculation framework.
– Involved in periodic review and calibration of model parameters.
– Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value.
– Candidate should have theoretical understanding in Pricing – Derivatives/ Product Control and hedging models with focus on Interest rate, Equity, FX products
– Candidate should have experience in Stochastic Volatility modeling, calibration etc
– Knowledge of internal procedures and local regulations and those of other country regulators would be an advantage.
Business: Risk & Compliance
Principal responsibilities:
– Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
– Provide written reports detailing the results of validations highlighting issues identified during the validation.
– Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues.
– Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures.
– Support the recruitment and retention of junior colleagues and provide coaching and guidance.
– Lead model validation activities including planning and stakeholder management.
– Deliver, high quality, timely validation reports that add value to the business.
– Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.
– Communicate across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of model risks and limitations.