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

Crisil; Mumbai; On-site; INR 1,000,000 - 1,500,000; Full time

Job summary

A leading financial services firm in Mumbai is seeking a highly analytical individual for their Model Validation team. You will be responsible for validating market risk models under the FRTB framework, ensuring they are conceptually sound and robust. The ideal candidate will have a Master's or Ph.D. in a quantitative discipline and 2-6 years of relevant experience, including deep knowledge of market risk models. Proficiency in Python and SQL is essential for performing data analysis and model development.

Qualifications

• 2-6 years of experience in quantitative risk role within a financial institution or consulting firm.
• Demonstrable knowledge of the FRTB framework.
• Strong analytical skills to assess market risk models.

Responsibilities

• Validate Expected Shortfall models and conduct back testing.
• Review implementation of P&L Attribution tests.
• Author comprehensive model validation reports.

Skills

Quantitative analysis

Programming in Python

Statistical modeling

SQL proficiency

Communication skills

Education

Master’s or Ph.D. in a quantitative discipline

Tools

Pandas

NumPy

Scikit-learn

Job description

We are seeking a highly analytical and detail‑oriented individual to join our Model Validation team at Crisil. As a key member of the team, you will be responsible for the independent validation of market risk models under the Fundamental Review of the Trading Book (FRTB) framework. This includes both the Internal Model Approach (IMA) and the Standardized Approach (SA). The role requires a deep understanding of quantitative finance, regulatory requirements, and strong technical skills to ensure our models are conceptually sound, robust, and fit for purpose.

Core Responsibilities

• Validate the Expected Shortfall (ES) models, including calibration, risk factor mapping, and stress scenarios.
• Assess the P&L Attribution (PLA) test framework and its implementation to ensure desk‑level model eligibility.
• Review the identification, treatment, and capitalization of Non‑Modellable Risk Factors (NMRF).
• Perform rigorous back testing on the internal models at both desk and aggregate levels as per regulatory standards.
• Validate the implementation of the Sensitivities‑Based Approach (SBA), including the calculation of delta, vega, and curvature risk sensitivities.
• Review the aggregation formulas and correlation scenarios as prescribed by the regulation.
• Assess the calculation of the Default Risk Charge (DRC‑SA) and the Residual Risk Add‑on (RRAO).

Quantitative Analysis & Testing

• Conduct challenger model development for benchmarking and performance assessment.
• Perform extensive sensitivity analysis on model assumptions, parameters, and inputs.
• Design and execute stress tests to probe model vulnerabilities under extreme but plausible scenarios.

Documentation & Governance

• Author comprehensive and high‑quality model validation reports, clearly outlining findings, limitations, and required actions for remediation.
• Present validation results to senior management, model governance committees, and internal/external auditors.
• Maintain the 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 of experience in a quantitative risk role (model validation or development) within a financial institution or top‑tier consulting firm. Direct experience with market risk models is mandatory.
• FRTB Knowledge: In‑depth, demonstrable knowledge of the FRTB framework, including both the Internal Model Approach and the Standardized Approach, based on the BCBS standards.

Technical & Professional Skills

• Programming: Strong proficiency in Python (preferred) for data analysis and model prototyping. Experience with libraries like Pandas, NumPy, and Scikit‑learn is essential.
• Database: Competency with SQL for data extraction and manipulation.
• Quantitative: Solid understanding of financial mathematics, derivatives pricing, and statistical modeling (e.g., time series analysis, Monte Carlo methods).
• Communication: Exceptional written and verbal communication skills, with the ability to explain complex quantitative concepts to diverse audiences, including senior management and regulators.
• Certifications: FRM or CQF designation is highly desirable.