FRTB SA Testing

1 week 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

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