Senior Leader Model Development FRTB

Key responsibilities

• Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (e.g., Basel, FRTB).
• Work on the prospective regulation i.e., FRTB, perform firm wide plus desk level analysis to assess the impact of new regulation and support in quantitative impact study (QIS).
• Lead and delegate work within assigned team along with individual contribution on FRTB and other projects.
• Ensure that the FRTB IMA models meet their stated objectives by building robust risk factor eligibility test tools, NMRF SES and IMA ESF methodologies.
• 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.
• Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
• Create strategic tools for VaR/RNIV/Add-on/PnL Adjustment/Back testing using python to facilitate integration with FRTB implementation and offline calculation of risk numbers.
• Participate in periodic review of models and calibration of model parameters.
• Provide necessary support to team during validation of market risk models by Model validation group/Audit including any model change on an ongoing basis.