MRQ: FRTB IMA- Analyst

Employer
Credit Suisse -
Location
Mumbai, India
Salary
Competitive
Posted
Jul 19, 2019
Closes
Jul 25, 2019
Ref
6158539
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
We Offer
The successful candidate will have the opportunity to:
  • Develop the Internal Models Approach (IMA) 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
  • In-depth analysis of various risk measures like Expected Shortfall and Non-Modellable risks and how these are calculated under the new regulatory framework
  • Study the alternative methodology (Standard Rules Approach) impacts and compare the results with the IMA 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
  • 0-2 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is beneficial
  • The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering.
  • A higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage
  • General knowledge of risk issues and investment products, together with some programming skills would be also desirable
  • Good MS Excel and VBA skills is highly preferred. Experience in C#, R, Python is highly valued
  • Ability to work well in a team and building relationships
  • Ability to produce high quality, accurate work, under pressure and to tight deadlines
  • Willingness to question and challenge the status quo and ability to provide alternative approaches

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