AddressJob Title: Risk Methodology Quant Analyst
Functional Title: Associate
Division: Risk Methodology
Location: Mumbai
Responsibilities will include:
Methodology:
- Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models
- Recalibration of model parameters which are used in the internal ratings based models for credit risk
- Recalibration of the period of significant financial stress for calculating SVaR
- Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model
- Theoretical backtesting for the performance measurement of internal models, in particular Value-at-Risk models
- Regular monitoring of the credit risk score quality for credit applications
- Data analysis and preparation for credit risk rating model development and parameter calibrations
- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses
- Work with CRM units to explain outcomes of the score monitoring and/or data quality / operation teams on artifacts detected in the model development data
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