Quant / Senior Quant Analyst - Market Risk Model Validation (FRTB)

You will be joining the Model Validation team at Crisil, where your role will involve independently validating market risk models under the Fundamental Review of the Trading Book (FRTB) framework. This includes validating models under the Internal Model Approach (IMA) and the Standardized Approach (SA), ensuring they are conceptually sound and fit for purpose. Core Responsibilities: - Independent Model Validation (IMA): - Validate Expected Shortfall (ES) models, including calibration, risk factor mapping, and stress scenarios. - Assess the P&L Attribution (PLA) test framework and its implementation for desk-level model eligibility. - Review the identification, treatment, and capitalization of Non-Modellable Risk Factors (NMRF). - Conduct rigorous back testing on internal models at desk and aggregate levels following regulatory standards. - Independent Model Validation (SA): - Validate the implementation of the Sensitivities-Based Approach (SBA), including calculating delta, vega, and curvature risk sensitivities. - Review aggregation formulas and correlation scenarios as per regulation. - Assess the calculation of Default Risk Charge (DRC-SA) and Residual Risk Add-on (RRAO). - Quantitative Analysis & Testing: - Develop challenger models for benchmarking and performance assessment. - Perform sensitivity analysis on model assumptions, parameters, and inputs. - Design and execute stress tests to identify model vulnerabilities under extreme scenarios. - Documentation & Governance: - Prepare comprehensive model validation reports outlining findings, limitations, and required remedial actions. - Present validation results to senior management, model governance committees, and auditors. - Maintain model inventory and track the lifecycle and remediation of validation findings. Essential Qualifications & Experience: - Education: Master's or Ph.D. in a quantitative discipline (e.g., Financial Engineering, Mathematics, Physics, Statistics, Economics). - Experience: 2-6 years in a quantitative risk role within a financial institution or consulting firm, with direct experience in market risk models. - FRTB Knowledge: Demonstrable knowledge of the FRTB framework, including IMA and SA based on BCBS standards. Technical & Professional Skills: - Programming: Proficiency in Python for data analysis and model prototyping, experience with libraries like Pandas, NumPy, and Scikit-learn. - Database: Competency with SQL for data extraction and manipulation. - Quantitative: Understanding of financial mathematics, derivatives pricing, and statistical modeling. - Communication: Strong written and verbal communication skills to explain complex concepts to diverse audiences. - Certifications: FRM or CQF designation is highly desirable. You will be joining the Model Validation team at Crisil, where your role will involve independently validating market risk models under the Fundamental Review of the Trading Book (FRTB) framework. This includes validating models under the Internal Model Approach (IMA) and the Standardized Approach (SA), ensuring they are conceptually sound and fit for purpose. Core Responsibilities: - Independent Model Validation (IMA): - Validate Expected Shortfall (ES) models, including calibration, risk factor mapping, and stress scenarios. - Assess the P&L Attribution (PLA) test framework and its implementation for desk-level model eligibility. - Review the identification, treatment, and capitalization of Non-Modellable Risk Factors (NMRF). - Conduct rigorous back testing on internal models at desk and aggregate levels following regulatory standards. - Independent Model Validation (SA): - Validate the implementation of the Sensitivities-Based Approach (SBA), including calculating delta, vega, and curvature risk sensitivities. - Review aggregation formulas and correlation scenarios as per regulation. - Assess the calculation of Default Risk Charge (DRC-SA) and Residual Risk Add-on (RRAO). - Quantitative Analysis & Testing: - Develop challenger models for benchmarking and performance assessment. - Perform sensitivity analysis on model assumptions, parameters, and inputs. - Design and execute stress tests to identify model vulnerabilities under extreme scenarios. - Documentation & Governance: - Prepare comprehensive model validation reports outlining findings, limitations, and required remedial actions. - Present validation results to senior management, model governance committees, and auditors. - Maintain model inventory and track the lifecycle and remediation of validation findings. Essential Qualifications & Experience: - Education: Master's or Ph.D. in a quantitative discipline (e.g., Financial Engineering, Mathematics, Physics, Statistics, Economics). - Experience: 2-6 years in a quantitative risk role within a financial institution or consulting firm, with dire