FRTB Model Validation - Market Risk

Crescendo Global Leadership Hiring India; Mumbai; On-site; INR 2,500,000 - 6,000,000; Full time

Job summary

Crescendo Global is hiring for an FRTB Model Validation professional in Mumbai. The role focuses on independent validation of market risk models under the FRTB framework, covering IMA and SA, with emphasis on ES, PLA, NMRF, SBA, and DRC/RRAO. Strong Python and SQL skills required.

Ideal candidates hold a Master’s or PhD in a quantitative field with 2–6 years of relevant experience and familiarity with BCBS standards. FRM or CQF is highly desirable.

Qualifications

• Master's or Ph.D. in a quantitative discipline.
• 2–6 years in quantitative risk, model validation or related area.
• Proven experience with market risk models.
• Strong knowledge of FRTB framework (IMA and SA).
• Proficiency in Python (Pandas, NumPy, Scikit-learn) and SQL.

Responsibilities

• Validate ES models under FRTB IMA including calibration and stress scenarios.
• Assess PLA framework and desk-level model eligibility.
• Review NMRF identification, treatment and capitalization.
• Back test internal models at desk and aggregate levels.
• Validate SBA implementation (delta, vega, curvature).
• Review aggregation formulas and FRTB correlation scenarios.
• Assess DRC-SA and RRAO calculations.

Skills

Python (Pandas)

NumPy

Scikit-learn

SQL

FRM or CQF (desirable)

Education

Master's or PhD in quantitative field

Job description

FRTB Model Validation - 2 to 6 Years - Mumbai

An exciting opportunity for a highly analytical and detail-oriented professional to join a leading Model Validation team as an FRTB Model Validation professional. The role involves independent validation of market risk models under the Fundamental Review of the Trading Book (FRTB) framework, covering both the Internal Model Approach (IMA) and Standardized Approach (SA).

Location

Mumbai.

Your Future Employer

A leading organization offering an opportunity to work on advanced market risk model validation, quantitative analysis, and regulatory frameworks within a specialized Model Validation function.

Responsibilities

1. Independently validate Expected Shortfall (ES) models under the FRTB Internal Model Approach, including calibration, risk factor mapping, and stress scenarios.
2. Assess the P&L Attribution (PLA) test framework and implementation to evaluate desk-level model eligibility.
3. Review the identification, treatment, and capitalization of Non-Modellable Risk Factors (NMRF).
4. Perform rigorous back testing of internal models at desk and aggregate levels in line with regulatory standards.
5. Validate the implementation of the Sensitivities-Based Approach (SBA), including delta, vega, and curvature risk sensitivities.
6. Review aggregation formulas and correlation scenarios prescribed under the FRTB regulations.
7. Assess the calculation of Default Risk Charge (DRC-SA) and Residual Risk Add-on (RRAO).

Requirements

1. Master's or Ph.D. in a quantitative discipline such as Financial Engineering, Mathematics, Physics, Statistics, or Economics.
2. 2-6 years of experience in quantitative risk, model validation, or model development within a financial institution or top-tier consulting firm.
3. Mandatory experience with market risk models.
4. In-depth and demonstrable knowledge of the FRTB framework, including both the Internal Model Approach (IMA) and Standardized Approach (SA), based on BCBS standards.
5. Strong proficiency in Python for data analysis and model prototyping, with experience in Pandas, NumPy, and Scikit-learn.
6. Competency in SQL for data extraction and manipulation.
7. FRM or CQF certification is highly desirable.

What is in it for you

1. Opportunity to work on complex FRTB market risk models across both IMA and SA frameworks.
2. Exposure to advanced quantitative model validation, regulatory requirements, and model governance.
3. Opportunity to work closely with senior stakeholders, governance committees, and auditors.
4. Scope to develop challenger models and contribute to robust quantitative risk management practices.

Disclaimer

Crescendo Global does not discriminate based on race, religion, colour, origin, gender, sexual orientation, age, marital status, veteran status or disability status.

Note

We receive many applications daily, so it becomes difficult for us to get back to each candidate. Please assume that your profile has not been shortlisted in case you don't hear back from us in 1 week. Your patience is highly appreciated.

Keywords

FRTB, Model Validation, Market Risk, Internal Model Approach, IMA, Standardized Approach, SA, Expected Shortfall, ES, P&L Attribution, PLA, NMRF, Back Testing, Sensitivities-Based Approach, SBA, DRC, RRAO, Python, Pandas, NumPy, Scikit-learn, SQL, Quantitative Risk, Financial Mathematics, Derivatives Pricing, Statistical Modelling, Monte Carlo, Time Series Analysis, FRM, CQF, Mumbai, Crescendo Global.