Northern Trust

Market Risk, Model Development

Northern Trust

full-time

Posted on:

Location Type: Office

Location: Bangalore • India

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Tech Stack

PythonVBA

About the role

  • Responsible for Capital Market model development for bank’s trading derivative products (FX and Interest Rate Derivative), and securities lending portfolio including equities.
  • Ensures regular production of analytical work.
  • Development of daily trading limit models, Initial Margin models for uncleared trades and Basel regulatory exposure calculation tools (EAD).
  • Collaborates with front office business partners, regulators, Audit Services, and other independent reviewers.
  • Evaluates existing framework in relation to corporate objectives and industry leading practices.
  • Supports stress testing, capital quantification and/or internal capital allocation methodologies.
  • Provides technical/theoretical inputs to resolve risk issues and enhance overall risk framework.
  • Works with other risk or business unit teams to ensure that risk management policies/processes and quantitative modelling approaches are consistent.
  • Provides communication and training efforts to promote understanding of risk measurement throughout the company.
  • Conducts analysis, independently ensuring accuracy and completeness.
  • Responsible for interaction with different committees and/or senior management.
  • Strategic in developing, implementing and administering programs within Risk Management for specific product(s).

Requirements

  • Master in Statistics/ Economics/Mathematics/advanced degree in quant area
  • Or B.tech. From tier 1 college with MBA in related field
  • 0-4 years of hands-on market/counterparty quantitative risk related experience
  • Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques
  • Experience in Python, SAS, advanced Excel techniques and VBA programming
  • Experience in building stochastic process pricing models, and Monte Carlo Simulation models.
  • Strong regulatory understanding for banking capital review rule, market risk rules, and model risk compliance, such as BASEL, CCAR, SR11/7 etc.
  • Related Industry qualification (e.g., CFA, FRM) a plus.
  • Excellent verbal and written communication skills (English)
  • Experience of working in a multi-cultural and global environment
Benefits
  • Reasonable accommodation provided for individuals with disabilities
  • Flexible and collaborative work culture
  • Movement within the organization encouraged
  • Senior leaders are accessible

Applicant Tracking System Keywords

Tip: use these terms in your resume and cover letter to boost ATS matches.

Hard skills
PythonSASExcelVBAstochastic process pricing modelsMonte Carlo Simulationquantitative modelling techniquesrisk conceptsanalytical workcapital quantification
Soft skills
communication skillstrainingcollaborationstrategic thinkingindependenceaccuracycompletenessinterpersonal skillsproblem-solvingorganizational skills
Certifications
CFAFRM