FRTB Model Validation Specialist CRESCENDO GLOBAL LEADERSHIP HIRING INDIA PRIVATE L

The Corporate Institute; Mumbai; On-site; INR 1,200,000 - 2,400,000; Full time

Job summary

The Corporate Institute in Mumbai is seeking an experienced FRTB Model Validation professional to join a high-performing quantitative risk and model validation team. You will work on FRTB IMA/SA, ES models, NMRF, backtesting, and SBA compliance with senior stakeholders.

Ideal candidates have 2–6 years in quantitative risk or model validation, strong FRTB knowledge, and proficiency in Python (Pandas, NumPy, Scikit-learn). This is a challenging opportunity in a governed financial environment.

Qualifications

• 2-6 years of relevant experience in Quantitative Risk, Market Risk Model Validation, or Model Development.
• Master’s or Ph.D. in Financial Engineering, Mathematics, Statistics, Physics, Economics, or another quantitative discipline.
• Strong and demonstrable understanding of FRTB, including both IMA and SA, based on BCBS standards.
• Direct experience working with Market Risk Models is mandatory.
• Strong understanding of ES, PLA, NMRF, Backtesting, SBA, DRC-SA, and RRAO.
• Strong proficiency in Python, with experience in Pandas, NumPy, and Scikit-learn.

Responsibilities

• Perform independent validation of FRTB Market Risk Models across the Internal Model Approach (IMA) and Standardized Approach (SA).
• Validate Expected Shortfall (ES) models, including calibration, risk factor mapping, and stress scenarios.
• Assess P&L Attribution (PLA) testing and desk-level model eligibility.
• Review the identification, treatment, and capitalization of Non-Modellable Risk Factors (NMRF).
• Perform rigorous backtesting of internal models at desk and aggregate levels.
• Validate the Sensitivities-Based Approach (SBA), including Delta, Vega, and Curvature risk sensitivities.
• Review risk aggregation methodologies and correlation scenarios prescribed under FRTB regulations.
• Assess Default Risk Charge (DRC-SA) and Residual Risk Add-On (RRAO) calculations.

Skills

Python

Pandas

NumPy

Scikit-learn

FRTB knowledge

Market Risk

Education

Master’s or Ph.D. in Financial Engineering, Mathematics, Statistics, Physics, Economics, or another quantitative discipline

Job description

Role Overview:

We are looking for an experienced FRTB Model Validation professional to join a high-performing quantitative risk and model validation team. This role offers exposure to FRTB Internal Model Approach (IMA), Standardized Approach (SA), Market Risk Models, and advanced quantitative validation methodologies, while working closely with senior stakeholders across risk and governance functions.

The position is ideal for quantitative risk professionals who enjoy combining technical depth, quantitative modelling, regulatory knowledge, and independent model assessment in a highly governed financial environment.

Key Responsibilities:

• Perform independent validation of FRTB Market Risk Models across the Internal Model Approach (IMA) and Standardized Approach (SA)
• Validate Expected Shortfall (ES) models, including calibration, risk factor mapping, and stress scenarios
• Assess P&L Attribution (PLA) testing and desk-level model eligibility
• Review the identification, treatment, and capitalization of Non-Modellable Risk Factors (NMRF)
• Perform rigorous backtesting of internal models at desk and aggregate levels
• Validate the Sensitivities-Based Approach (SBA), including Delta, Vega, and Curvature risk sensitivities
• Review risk aggregation methodologies and correlation scenarios prescribed under FRTB regulations
• Assess Default Risk Charge (DRC-SA) and Residual Risk Add-On (RRAO) calculations

Desired Candidate Profile:

• 2-6 years of relevant experience in Quantitative Risk, Market Risk Model Validation, or Model Development
• Master’s or Ph.D. in Financial Engineering, Mathematics, Statistics, Physics, Economics, or another quantitative discipline
• Strong and demonstrable understanding of FRTB, including both IMA and SA, based on BCBS standards
• Direct experience working with Market Risk Models is mandatory
• Strong understanding of Expected Shortfall, P&L Attribution, NMRF, Backtesting, SBA, DRC-SA, and RRAO
• Strong proficiency in Python, with experience in Pandas, NumPy, and Scikit-learn

About the Organization:

Our client is a leading financial services organization with a strong focus on quantitative risk management, model governance, and regulatory frameworks. The organization offers exposure to FRTB, advanced market risk models, quantitative validation methodologies, and senior risk stakeholders, along with opportunities to work on high-impact regulatory and risk management initiatives.