Manager/Group Manager (Risk not in VAR)

Job description


The person will be required to work on one or more of the risks and compliance models for global Investment bank which are following:

• Analysing Value-at-Risk (VaR) / risk exposure, Risk Not in VaR (RNIV) estimation and reviewing risk positions. Escalating material risk when necessary

• Assisting in building out a more detailed threshold framework for the Equity/IR/FX/MBS, CMO, CLO Derivatives business, and stress scenarios

• Good understanding of Volatility risk factors across asset classes (ATM Volatility, Skew, Smile) and their sensitivities

• Understanding of RFR (ESTR/SOFR) benchmark curves and impact of migration from LIBOR

• Deep understanding of risk attributions using Taylor’s series approximations and cross impact of risk factors

• Understanding of partial revaluation, Full revaluation and sensitivity based VaR computations.

• Good understanding of pricing products across asset classes-Interest Rates, FX, Equities and Credit

• Monitoring and Estimation of correlation RNIV (Equity/Equity, Equity/FX) risk in the Derivatives business

• Working with the Market risk team for quantifying monthly reserves

• Understanding of SIMM Backtesting procedures and RNIS calculations

• Execute the data analysis involved in the RNIV calculations

• Performing analysis of impacts of major drivers contributing the change in RNIV Important responsibilities in this role will include:

• Conduct model risk analysis, stress testing and other tests under different scenarios

• Writing quarterly RNIV and RNISIMM reports

• Writing Model methodology reports for any Model changes

• Provide regular updates to Senior Management Team and other key stakeholders with regards to progression against assigned deliverables.


Skill Set

Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development

• Strong analytical background and understanding of Derivatives product (all asset classes) attributes and risk profiles

• Knowledge of risk profile of Exotic Options for all the Asset classes

• Thorough knowledge of all pricing models, VaR and RNIV models used

• Ability to understand and quantify the missing risk

• Experience in usage and retention of volatility surface time-series data, surface normalization, pillar extrapolation/interpolation methods

• Experience with the Murex platform is preferred

• Strong knowledge in one or more of the following programming languages: Python, VBA / DB

• Ability to articulate ideas and make recommendations.

• Proficiency in developing and giving presentations.

• Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels

• Strong analytical and interpersonal skills

Posted
07/14/2022
Location
gurugram, UP, IN