AVP - FRTB + Model Validation/Development

Hi,

Role - AVP FRTB

Skills - FRTB Implementation, Model Validation/Development, Python

Responsibilities:

• Need to have expertise on all FRTB capital models as well as PLA/ RFET. Need to have already worked on SA and IMA models
• Experience with handling stakeholder requests (typically FO and Risk Managers)
• Strong Market Risk RWA modelling background (preferably on FRTB SA and IMA models) and coding skills in Python
• Good in SQL / Excel. Even basic ability is acceptable.

Act as a subject matter expert for the risk models including an understanding of FRTB

guidelines and providing support to the model users (i.e. Risk managers) and be a key

point of contact with respect to such models.

Ensure that the FRTB SA & IMA models meet their stated objectives by building robust

SBA, RRAO, SA DRC, Risk factor eligibility test tools, NMRF SES, IMA DRC and IMA

ESF methodologies.