Global Risk | Risk Methodology

About the company: Global Investment Bank

Business Unit Overview:

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements and to back-test VaR against Hypo and clean PnL. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, and the back-testing group of adjusting and updating Hypo PnL using adjustments provided by various different systems. The group works extensively on the regulatory capital model, including the proposed regulation, fundamental review of trading book (FRTB).

Experience: 4 - 6 years

Qualification: Masters in Quantitative discipline (B.E / B. Tech+, M. Tech, MSc (Maths / Stats), Econometrics)

Role & Responsibilities:
• Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (eg. Basel,FRTB).
• Work on the prospective regulation i.e. FRTB, perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).
• Ensure that the FRTB SA & IMA models meet their stated objectives by building robust SBA, RRAO, SA DRC, risk factor eligibility test tools, NMRF SES and IMA ESF methodologies.
• Act as a subject matter expert for the risk models including an understanding of FRTB guidelines and providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models.
• Development and periodic update of proto-type models with special attention to the model related to Market risk VaR.
• Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
• Create strategic tools for RWA Optimization/deal analysis/RWA driver analysis/VaR/RNIV/Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.
• Build FRTB based What-If prototype tools in collaboration with Business / Risk Managers for new portfolio / hedge impact analysis
• Participate in periodic review of models and calibration of model parameters.
• Provide necessary support to team during validation of VaR models by Model validation group/Audit including any model change on an ongoing basis.
• Need to handle stakeholder requests (typically FO and Risk Managers) on RWA optimization and What-If analysis.
• Support with building tools that help in making the above processes more time-efficient
• Holding technical workshops to educate stakeholders on how FRTB SA and IMA models work

Desired Background:
• Need to have expertise on all FRTB capital models as well as PLA/ RFET. Need to have already worked on SA and IMA models
• Experience with handling stakeholder requests (typically FO and Risk Managers)
• Strong Market Risk RWA modelling background (preferably on FRTB SA and IMA models) and coding skills in Python
• Good in SQL / Excel. Even basic ability is acceptable.
• Gitlab understanding.