As a member of Bangalore GRM Model team, your main missions will be to:

• Perform the calibration of diffusion volatilities for underlying risk factors used in the context of counterparty risk
• Perform the back test of the distribution of simulated risk factors
• Suggest potential improvements in code/ algorithms linked to model implementation in system in order to better explain calibrated parameters fluctuations.
• Evaluate, in coordination with the other RISQ / RMA teams, the actions to be conducted to improve the back testing performance: granularity improvement of the risk factor modeling, inclusion of addition risk factors in the model, refinement of proxies, RISQ valuation refinement, etc.
• Prepare presentation and present findings in relation to back-testing exercises to the model committees on risk factor themes
• Carry out monitoring and permanent supervision checks to ensure the sustainability of the internal model: monitoring of proxies.
• Contribute to the transmission of the regulatory culture within the Bank
• Provide quantitative support to the Paris Team on projects aimed at addressing recommendations.