MRQ: FRTB IMA

Employer
Credit Suisse -
Location
Mumbai, India
Salary
Competitive
Posted
Jul 19, 2019
Closes
Jul 25, 2019
Ref
6157961
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
We Offer
  • 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
  • Deep analysis of various risk types across multiple asset classes like Equity, FX, GIRR, Credit etc. along with Non-Model able Risk Factors (NMRF) computations covered under FRTB-IMA rules
  • Study the alternative methodology (Standard Rules Approach) impacts and compare the results with the IMA 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 improvement 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 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 are knowledgeable in MS Excel and VBA skills is highly preferred. Experience in C#/Python 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 a tight deadlines
  • You have willingness to question and challenge the status quo and ability to provide alternative approaches

Similar jobs

Similar jobs