Consultant Expert - Counterparty Credit Modelling

As a member of Bangalore GRM Model team, your main missions will be to:

⮚Evaluate, in coordination with the other RISQ / RMA teams, the actions to be conducted to improve the back testing performance: granularity improvement of the risk factor modeling, inclusion of addition risk factors in the model, refinement of proxies, RISQ valuation refinement, etc.

⮚Prepare presentation and present findings in relation to back-testing exercises to the model committees on risk factor themes

⮚Carry out monitoring and permanent supervision checks to ensure the sustainability of the internal model: monitoring of proxies.

⮚Contribute to the transmission of the regulatory culture within the Bank

⮚Provide quantitative support to the Paris Team on projects aimed at addressing recommendations.

Background

⮚Master’s or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics, or Finance, or a track record of performance that demonstrates this ability.

⮚Background in a market risk management role having knowledge about var backtesting and its analysis

⮚Experience of minimum 5 years

Soft skills

⮚Excellent Communication (oral & written)

⮚Detail Oriented

⮚Leadership

⮚Analytical and synthesis capacity.

⮚Structured approach

⮚Rationality

⮚Pro- activity, commitment

⮚Team spirit.

Technical

⮚Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily market risk (var backtesting, breach analysis, RNIS, proxy monitoring)

⮚Significant experience in either model development or in model validation, hands-on experience in model development, model specification, model selection, model testing and validation

⮚Knowledge of computing and scripting languages (Python, R..)

⮚Able to produce high quality written communication including reviews of models, risk policies, and presentations for technical and non-technical audiences

Familiarity with regulatory requirements (Basel framework, CRR, …), including governance and documentation standards.

“We are committed to creating a diverse environment and are proud to be an equal opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status”.

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