Current jobs related to FRTB SA Testing - mumbai - CRISIL Limited

  • Risk Methodology(FRTB)

    4 days ago

    mumbai, India Nomura Full time

    Nomura Overview: Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Frtb Ba/pm

    4 months ago

    Mumbai, Maharashtra, India CRISIL Full time

    At least 5+ years of work experience in Market Risk domain preferably with an investment bank/consulting firm. - Prior experience in FRTB implementation as Business analyst /PM would be preferred. - Perform gap analysis between BCBS/ US NPR and country specific FRTB rules (e.g., PRA Consultation Paper 16/22) and work with different teams for BRD creation....

  • Risk Methodology(FRTB)

    3 months ago

    Mumbai, India Nomura Full time

    Nomura Overview:Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Risk Methodology(FRTB)

    2 weeks ago

    Mumbai, India Nomura Full time

    Nomura Overview: Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and...

  • Risk Methodology(FRTB)

    3 months ago

    Mumbai, India Nomura Full time

    Nomura Overview: Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Risk Methodology(FRTB)

    3 months ago

    Mumbai, India Nomura Full time

    Nomura Overview:Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Risk Methodology(FRTB)

    3 months ago

    Mumbai, India Nomura Full time

    Nomura Overview:Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Risk Methodology(FRTB)

    5 days ago

    mumbai, India Nomura Full time

    Nomura Overview:Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Global Risk

    2 months ago

    Mumbai, India Global Investment Bank Full time

    About the company: Global Investment BankBusiness 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...

  • Global Risk

    2 months ago

    Mumbai, India Global Investment Bank Full time

    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...

  • Market Risk Frtb

    3 days ago

    Mumbai, Maharashtra, India Barclays Full time

    **To be successful as a Market Risk (FRTB) - VP, you should have experience with**: - Bachelor’s degree with relevant exp. or master’s degree in a quantitative discipline such as Finance, Maths, Statistics, Sciences, Engineering or Economics or substantial directly related experience. - Significant experience in financial markets (market risk,...

  • Senior Analyst

    5 days ago

    mumbai, India Nomura Full time

    Nomura Overview: Nomura is an Asia-headquartered financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment...

  • Vice President

    3 days ago

    mumbai, India A leading Financial Services Group Full time

    Quantitative Risk Management - Model Validation Model Validation: The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model...

  • Vice President

    2 months ago

    Mumbai, India A leading Financial Services Group Full time

    Quantitative Risk Management - Model ValidationModel Validation:The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model...

  • Sas Fresher

    4 months ago

    Mumbai, India AxionConnect Info Solutions Full time

    SAS Fresher for BFSI Domain - **[Global SAS Certification is a Must]** **Position Overview**: As a SAS Fresher in the BFSI (Banking, Financial Services, and Insurance) domain, you will be responsible for utilizing SAS (Statistical Analysis System) tools and techniques to analyze and interpret data, create reports, and support decision-making processes...

  • Quantitative Strategist

    3 days ago

    Mumbai, Maharashtra, India Deutsche Bank Full time

    **Quantitative Strategist - Market Risk Strats - Associate**: **Job ID**:R0344408**Full/Part-Time**:Full-time**Regular/Temporary**:Regular**Listed**:2024-09-24**Location**:Mumbai**Position Overview**: **Job Title: Group Strategic Analytics - **Quantitative Strategist - Market Risk Strats - Associate** **Location: Mumbai, India** **Role...

  • Vice President

    2 months ago

    Mumbai, India A leading Financial Services Group Full time

    Quantitative Risk Management - Model Validation Model Validation:The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model...

  • Vice President

    2 months ago

    Mumbai, India A leading Financial Services Group Full time

    Quantitative Risk Management - Model Validation Model Validation:The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model...

  • Vice President

    2 months ago

    Mumbai, India A leading Financial Services Group Full time

    Quantitative Risk Management - Model Validation Model Validation: The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model...

  • Vice President

    5 days ago

    mumbai, India A leading Financial Services Group Full time

    Quantitative Risk Management - Model Validation Model Validation:The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model...

FRTB SA Testing

3 months ago

mumbai, India CRISIL Limited Full time

Hello

Please find the attached Job Description:


Designation - FRTB SA Testing / Risk Manager - 13086

Client – CRISIL

Location – Mumbai


Job Description:


Roles & Responsibilities:


Supporting front office pricing model development team, focusing on testing sensitivities feeding into FRTB SA, and SA-CVA models.

  • Testing and validating conceptual soundness, assumptions, and limitations sensitivity produced by pricing models and used for FRTB SA calculations, testing the overall implementation of FRTB SA (SBM, DRC, RRAO), and SA-CVA capital models as per the regulatory requirements.
  • Review and assess the accuracy, effectiveness, and appropriateness of the FRTB SA models.
  • Root cause analysis for material issues identified during the pricing model testing.
  • Documenting model limitations, and key findings - any model deficiencies or issues, liaise with key stakeholders to discuss and communicate findings, and proposed solutions.

Qualification, Experience & Skills:

  • Understanding of stochastic calculus, and numerical techniques for derivatives pricing (Monte Carlo Simulation, Finite Difference etc.)
  • Strong understanding and prior experience of FRTB regulations across different jurisdictions.
  • Prior knowledge or experience in Market Risk, CVA, model development, validation, testing
  • Knowledge of financial products across different asset classes
  • Proven ability to interface and build relationships with diverse groups and team members.
  • Python and SQL skills would be needed.

Mandatory Skills

  • Market Risk, FRTB SA