RSK-Risk Methodology Group Professional

Job Details

• Job Title: RSK-Risk Methodology Group
• City: Mumbai
• Skill Category: Risk

Role Overview

The Risk Methodologies Group (RMG) has the mandate to develop / enhance risk models in line with internal and regulatory requirements, perform ongoing model performance and conduct SIMM/VaR back-testing. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, used for internal regulatory reporting and thus ensuring they meet business and regulatory standards. RMG team comprises of five functions working on models covering Market Risk, Economic capital, Market and counterparty Stress Testing, FRTB and Model Performance Monitoring under one umbrella.

Role Responsibilities

• Periodic Backtesting and Model Performance Monitoring (MPM) is a critical aspect in ensuring that models are functioning as intended. It involves monitoring the models outputs, inputs, and performance metrics to ensure that the model is still accurate and relevant. Timely monitoring and analysis of model performance results can help mitigate model risk and improve the models accuracy and effectiveness. The responsibilities include the following:
• Periodic backtesting/ performance monitoring of the following models:
  • Firm s internal VaR model
  • SIMM (Standardized Initial Margin Model) model
  • FRTB internal models (via backtesting and PL attribution test (PLA))
  • Other risk models
• Daily Backtesting of firm s internal VaR model including FRTB models and related analysis at entity as well as desk level. It also involves detailed analysis across product classes and risk factors.
• SIMM (Standardized Initial Margin Model) model monitoring and reporting, which involves development and ownership of the backtesting/benchmarking methodology, identifying risk not in SIMM and in depth analysis on exception drivers by working across product classes.
• Analyse and review the backtesting exceptions with Risk managers and Product control and highlight deficiencies (if any) in the model.
• Good understanding of risk factors, sensitivity/greeks, valuations and trade lifecycle.
• Good understanding of financial products (bond, derivatives) and accounting/risk management processes around them.
• Working on various regulatory driven weekly, monthly and quarterly tasks which also involves reporting to external regulators and senior stakeholders.

Position Specifications

• Corporate Title: Analyst
• Functional Title: Analyst/Senior Analyst
• Experience: 1 - 4 years
• Qualification: Master's in finance/economics or similar
• Working Shift: EMEA

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