About Our Client  Our client is a leading financial services organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, and are looking for a professional to help achieve their expansion plans. Job Description  Reporting into the Head of VaR Model Testing, you shall be part of a newly created VaR Model testing team. The objective of the team would be to review various VaR models and ensure that the models are compliant with the FSA’s BIPRU standards.  Your key responsibilities shall include:  - Plan and perform annual VaR model review and PLAF testing across businesses and asset classes  - Identify technically robust approaches to assessing the overall VaR modelling approach  - Organise the execution of periodic model reviews, liaising with relevant business unit risk managers  - Produce high quality model review reports and ensure that reports are processed through the governance structure in a timely and efficient manner and that issues arising are properly tracked, prioritised and auctioned  - Work closely with risk managers of relevant asset classes, to be aware of latest changes in risk mappings, representations, position compositions  - Organising execution of the periodic model checks while considering the implications of results e.g. enhancements in the approach to the back-testing of the VaR model   - Keep abreast of the regulatory changes in methodology (BIPRU, CRD3, CRD4) with regards to model standards  The Successful Applicant  - You are a Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 5 years of experience in the Market Risk domain  - Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred  - Strong exposure to diverse asset classes with understanding of market conditions (volatility, extreme price moves) is essential  - Excellent understanding of VAR methodologies along with knowledge of regulatory requirements (FSA, EU/CRD and Basel/BIS)  - Proficient in Excel/VBA, JAVA, Python, MATLAB, R, etc  What's on Offer  Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.

Delhi NCR

Associate - Market Risk & VaR Model Testing - IIT/IIM 

Associate - Market Risk & VaR Model Testing - IIT/IIM  ,Job Description for Associate - Market Risk & VaR Model Testing - IIT/IIM  in Michael Page India in  Delhi NCR for (5-9) years of experience. Apply Now!

Job Description for Associate - Market Risk & VaR Model Testing - IIT/IIM  in Michael Page India in  Delhi NCR for (5-9) years of experience. Apply Now!