Job Title:  RSK-Risk Methodology Group

Periodic backtesting and model performance monitoring is a critical aspect of ensuring that models are functioning as intended. It involves monitoring the model's 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 model's 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 PLA)
  • Other risk models
• Daily Backtesting of firm’s internal VaR model 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
• Good understanding of risk factors, sensitivity, valuation and trade lifecycle
• Working on various regulatory driven weekly, Monthly and quarterly tasks which also involves reporting to external regulators and senior stakeholders
• Work on various development projects including automation/migration of existing model to Python, PowerBI based EUC and maintain proper documentation by using tools such as Gitlab
• To act as  a  subject matter expert for the related risk models and providing  support to the model users (i.e. Risk managers)
• Regular interaction with senior stakeholder across divisions such as Front office Quants, Finance, Risk management, IT etc
• Execute routine BAU tasks efficiently and accurately within the established framework and agreed-upon SLAs.
• This role centres on producing timely and accurate reports. It requires strong attention to detail, the ability to work efficiently under pressure, and a commitment to maintaining high standards in a fast-paced financial environment.
• The role demands adaptability to changing market conditions, including the willingness to extend work hours during periods of market volatility. Candidates should be prepared to adjust their schedules as needed to meet critical deadlines and operational requirements.