FRTB Model Validation - Market Risk

FRTB Model Validation - 2 to 6 Years - Mumbai

An exciting opportunity for a highly analytical and detail-oriented professional to join a leading Model Validation team as an FRTB Model Validation professional. The role involves independent validation of market risk models under the Fundamental Review of the Trading Book (FRTB) framework, covering both the Internal Model Approach (IMA) and Standardized Approach (SA).

Location - Mumbai.

Your Future Employer - A leading organization offering an opportunity to work on advanced market risk model validation, quantitative analysis, and regulatory frameworks within a specialized Model Validation function.

Responsibilities -

1. Independently validate Expected Shortfall (ES) models under the FRTB Internal Model Approach, including calibration, risk factor mapping, and stress scenarios.
2. Assess the P&L Attribution (PLA) test framework and implementation to evaluate desk-level model eligibility.
3. Review the identification, treatment, and capitalization of Non-Modellable Risk Factors (NMRF).
4. Perform rigorous back testing of internal models at desk and aggregate levels in line with regulatory standards.
5. Validate the implementation of the Sensitivities-Based Approach (SBA), including delta, vega, and curvature risk sensitivities.
6. Review aggregation formulas and correlation scenarios prescribed under the FRTB regulations.
7. Assess the calculation of Default Risk Charge (DRC-SA) and Residual Risk Add-on (RRAO).

Requirements -

1. Master's or Ph.D. in a quantitative discipline such as Financial Engineering, Mathematics, Physics, Statistics, or Economics.
2. 2-6 years of experience in quantitative risk, model validation, or model development within a financial institution or top-tier consulting firm.
3. Mandatory experience with market risk models.
4. In-depth and demonstrable knowledge of the FRTB framework, including both the Internal Model Approach (IMA) and Standardized Approach (SA), based on BCBS standards.
5. Strong proficiency in Python for data analysis and model prototyping, with experience in Pandas, NumPy, and Scikit-learn.
6. Competency in SQL for data extraction and manipulation.
7. FRM or CQF certification is highly desirable.

What is in it for you -

1. Opportunity to work on complex FRTB market risk models across both IMA and SA frameworks.
2. Exposure to advanced quantitative model validation, regulatory requirements, and model governance.
3. Opportunity to work closely with senior stakeholders, governance committees, and auditors.
4. Scope to develop challenger models and contribute to robust quantitative risk management practices.

Reach Us - If you think this role is aligned with your career, kindly write me an email along with your updated CV on [email protected] for a confidential discussion on the role.

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Keywords - FRTB, Model Validation, Market Risk, Internal Model Approach, IMA, Standardized Approach, SA, Expected Shortfall, ES, P&L Attribution, PLA, NMRF, Back Testing, Sensitivities-Based Approach, SBA, DRC, RRAO, Python, Pandas, NumPy, Scikit-learn, SQL, Quantitative Risk, Financial Mathematics, Derivatives Pricing, Statistical Modelling, Monte Carlo, Time Series Analysis, FRM, CQF, Mumbai, Crescendo Global.