
Market Risk Analyst
9 hours ago
Job Description:
- This is a critical role in our organization, requiring a strong background in quantitative disciplines.
Key Responsibilities:
- Collaborate with the risk methodologies group on projects related to regulatory capital models, ensuring compliance with Basel and FRTB regulations.
- Conduct firm-wide and desk-level analysis to assess the impact of new regulations, supporting quantitative impact studies (QIS).
- Develop and maintain robust risk assessment models, including SBA, RRAO, SA DRC, risk factor eligibility tests, NMRF SES, and IMA ESF methodologies.
- Serve as a subject matter expert for risk models, providing support to model users and serving as a key point of contact for such models.
- Design and implement prototype models focusing on market risk VaR, ensuring accuracy and reliability.
- Integrate risk models into strategic risk systems, guaranteeing compliance with regulatory requirements.
- Develop tools for RWA optimization, deal analysis, RWA driver analysis, VaR, RNIV, Add-on, PnL Adjustment, and backtesting using Python.
- Create FRTB-based What-If prototype tools in collaboration with business and risk managers for portfolio and hedge impact analysis.
- Participate in periodic model review and calibration of model parameters, ensuring model effectiveness.
- Provide necessary support during validation of VaR models by the Model Validation group/Audit.
- Respond to stakeholder requests on RWA optimization and What-If analysis.
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