RSK-Risk Methodology Group Professional

The Risk Management Division encompasses the firms comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firms riskreturn profile that ensures the efficient deployment of the firms capital. It is one of the firms core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises:

• Market Risk Management
• Credit Risk Management
• Quantitative Risk Management
• Operational Risk Management
• Data Integrity Group

Mind Set:

Mandatory

Desired

Domain

• 8+ years of experience in SIMM/VaR Backtesting (reporting and breach rootcause analysis)

• Good understanding of FO PL attribution and market risk model for derivative instruments across different asset classes.

• Experience dealing with multiple stakeholders Risk Managers, Product Controllers, Risk IT, Front Office and Regulators.
• Strong inclination to work in a hybrid setup which involves model development along with managing BAU deliverables.

• Experience of the ISDA SIMM and knowledge of bank s margining frameworks.

• Experience with rootcause analysis and reporting SIMM/ VaR Back testing results

• FRM/PRM/CFA certification would be added advantage

• Knowledge of Python, Excel VBA and SQL

Position Specifications:

Corporate Title

Associate

Functional Title

Associate (Assistant Vice President)

Experience

8+ years

Qualification

Masters in Quantitative discipline, F inance/economics or similar

Role Responsibilities:

• Periodic back testing/ performance monitoring of the following models:
  • SIMM (Standardized Initial Margin Model) model
  • Firm s internal VaR model
  • Other risk models
• SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the back testing/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product and risk classes.
• Analyse and review the back testing exceptions with Front office and Product control and highlight deficiencies (if any) in the model.
• Execute daytoday activities pertaining to regulatory and internally agreed ongoing model performance monitoring.
• Identify opportunities to streamline and automate daily manual processes, and work with Risk IT to implement these improvements
• To act as a subject matter expert for the related risk models and providing feedback to the model developers and users
• Be the key conduit between firm and regulatory bodies on any communication related to SIMM back testing results
• Interact with senior stakeholders across divisions such as Front office Quants, Finance, Risk management and IT to resolve issues.
• Maintain back testing related policy and procedure documentation
• Comfortably communicate and articulate with counterparty for SIMM remediation actions.

• Support model developers in automating the execution of their RMPM tests. In addition to experience with model back testing for ongoing monitoring, have a sound understanding and experience of performing sensitivity analysis, statistical testing and model benchmarking.
• Host multiple ongoing model performance monitoring forums where results are presented and challenged.
• Develop strategic tools for standardising and consolidating RMPM status reporting/drilldown