Associate, Market Risk

Gurugram, India

Role: NatWest Markets Risk India

Model Management team has a mandate to act as 1st line of defence for underlying Model Risk for all Traded Risk Models. Purpose of the role is to ensure that NWM uses correct and appropriate Counterparty credit risk & Market Risk models. 

The Role is in RHI MRPI – Traded Risk Model Management and reports to Quant Lead

Your responsibilities:

Traded Risk Model Management is aligned to Global Risk Quant team which is part of NWM -Enterprise Wide Risk.

Role holder will work with Global head of Traded Risk Model Management in delivering around risk model performance testing deliveries.

Lead on a project from end to end, which involves developing subject matter expertise around the particular risk model methodology, perform the required statistical testing around model performance, and finally presenting results to senior management and governance committees. 

Act as a first line of defence around traded risk models, with aim to identify any model weakness / model risk issue proactively. Own the model testing framework and ensure quantification and control around known model risk issues.

Establish effective collaborative environment and solid network with different stakeholders, mainly with model developers, risk managers and other model users, central model validation. 

Communicate model testing results effectively with different stakeholders, senior management and governance committees.

Over the time, establish himself as a global point of contact and SME for a particular risk model.

Comply with Our Code, all RBS policies, ‘How we manage RBS’, and if applicable ‘How we manage our Business’, and deliver against all relevant statutory, regulatory, supervisory and legal obligations.

Purpose of the role:

Model Management team has a mandate to act as 1st line of defence for underlying Model Risk for all Traded Risk Models. Purpose of the role is to ensure that NWM uses correct and appropriate Counterparty credit risk & Market Risk models. Following are the steps involved –

Ongoing Model Review – Perform regular model review and tests to identify any model risk issues.

Ongoing Model Performance Testing – Perform regular model testing to quantify model performance level.

Ongoing Model Risk Monitoring – Perform tests required to quantify impacts due to known model risk issues.

Communicating status of model to senior management and regulators.

Ensure that we are in control with respect to model risk.

The skills you will need:

3-5 year of experience working as risk model developer, model validation or model testing / maintenance. 
Should have experience to one of the risk models, market risk models (VaR, SVaR, IRC) or counterparty credit risk models( EPE, RWA).
Solid understanding of probability distributions, time series analysis and hypothesis testing.
Solid understanding of vanilla products across different asset classes, FX, IR, Inflation and Credit.
Basic knowledge of pricing vanilla products, Black Scholes model, IR curves, Monte Carlo simulation.
Masters/PhD in Numerate disciple is required.
Display behaviors in line with Our Standards.

Why RBS?

RBS doesn’t just provide you with an exciting work and a generous pay package. We take pride in ensuring your personal and professional developments are first and foremost. You will have access to a range of development and learning programs, services, and support designed to help you manage and balance your work/life priorities.

Whether its retirement planning, supporting a charity close to your heart or taking care of your well-being, RBS makes sure you are taken care of. For more information on our benefits, please visit our website.

At RBS, our purpose is to serve customers well. We serve around 24 million customers across the globe, and our aim is to consistently meet their needs wherever they find us. Our ambition is to become the UK’s number-one bank for customer trust, service, and advocacy by 2020. Our global workforce is integral to helping us achieve this goal.

With colleagues across 5 main states, and connected across-the-globe by common values and a unified ambition, RBS India delivers vital bank functions that help us offer truly round-the-clock support to our UK customers, and 24/7 banking to our international customers.

RBS welcomes applications from all sections of the community.

 

Loading, please wait
Talent Network