MRQ:Fundamental Review Of Trading Books SBA
- Employer
- Credit Suisse -
- Location
- Mumbai, India
- Salary
- Competitive
- Closing date
- Jul 25, 2019
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- Job Function
- Risk Management
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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We Offer
You Offer
- Improve the Standard rules based methodology under FRTB (Fundamental Review of Trading Book) framework and ensure compliance with the latest regulatory rule set prescribed by BCBS (Basel Committee on Banking Supervision)
- Participate in the QIS (Quantitative Impact Study) to estimate the Market Risk RWA impact for the firm under the proposed framework
- Deep analysis of various risk types (delta, vega and curvature) across multiple asset classes like Equity, FX, GIRR, Credit etc. covered under the sensitivities based approach of FRTB-Standard rules
- Study the alternative methodology (Internal Models Approach) impacts and compare the results with the Standard Rules based method to arrive at an optimum level of capital utilizing both approaches
- Ensure that process is adequately documented for both internal testing and further development purposes
- Collaborate with the strategic stream - methodology developers, data streams, system owners and IT analysts to implement the model as it goes live
- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications
You Offer
- You have at least 2-3 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is required
- You should have a first degree in mathematics, physics, econometrics, statistics or engineering.
- You have a higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage
- You have deep knowledge of risk issues and investment products, together with some programming skills would be also desirable
- You have good MS Excel and VBA skills is highly preferred. Experience in C# is highly valued
- You have the ability to work well in a team and building positive relationships
- You have the ability to produce high quality, accurate work, under stress and to tight deadlines
- You have willingness to question and challenge the status quo and ability to provide alternative approaches
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