Strategic Risk Modeller
23 hours ago
We are seeking a highly skilled and experienced executive leader to join our team in Mumbai. The successful candidate will be responsible for contributing to the development and improvement of risk modelling methodologies within the Bank's RISK function.
The ideal candidate will have a strong academic background in mathematics, physics or quantitative finance, with a minimum of 9 years of experience in risk modelling. They will also have a sound understanding of stochastic processes and their application to risk factor simulations, as well as practical knowledge of derivatives and their risk drivers.
The role requires excellent communication skills, both written and verbal, and the ability to work collaboratively with other teams and stakeholders. Previous experience in interacting with Front Office, validation functions and regulatory or supervisory bodies is a plus.
Key Responsibilities:- Participate in methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes.
- Investigate, analyze and design risk methods and models, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints.
- Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimization and promotion of the code to the production environment.
- Ensure that all methodologies, tools, processes and procedures are documented to a high standard satisfying both internal and regulatory expectations, and that any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation.
- Contribute to the quality assurance processes surrounding risk measurement including back testing and VaR Adequacy (P&L Explain) process.
- Cooperate with the RISK model validation teams in the review and approval of risk models.
- Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS).
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