The candidate will be required to understand various mathematical models and the related technical documentation which belongs to the following broad financial model classes:  - Measurement and analysis of market risk  - Valuation of various financial securities, including derivatives  - Asset Liability management  - Credit risk of multi instruments derivative hedge portfolio, mainly the fixed income book consisting of bonds, swaps, structured products and Eurodollar Futures.   - Statistical models for behavior and origination scorecards  - Forecasting models for credit losses and other balance sheet items  It is expected that the candidate should have sound familiarity with more than one class of models mentioned above.   - The candidate will be required to interact with the various model owners and provide an opinion on the models used for specific purpose, in accordance with the Model Validation guidelines.  Educational Qualifications:  - MBA in Finance with first degree in a quantitative discipline OR  - Masters degree in mathematical finance OR  - Relevant degree in statistics / Econometrics with adequate work experience OR   - A doctoral degree in mathematical finance / econometrics  In addition, an FRM qualification is preferred   Domain skills and exposure:  - Conceptual understanding of the data and methodology used for top statistical credit risk models (e.g., application/behavior scoring, economic capital models, etc.), Value-at-Risk models for market risk, ALM and behavioral models for interest rate risk, forecasting models for loan losses or balance sheet items, etc.   - Knowledge of domain, products and related software to help with the development and diffusion of the required knowledge and expertise  - Knowledge of Credit Risk and Counterparty Credit Risk  - Familiarity with stress testing and scenario analysis  - Good understanding of valuation principles for various derivative and structured products  - Good understanding of the Mathematical theory behind the various risk measures and valuation techniques  - Background in validation of risk models and good understanding of principles of risk model validation as defined by the regulatory agencies. For ex SR 11/7  Experience in:  - Reviewing conceptual soundness of models: Conceptual understanding of requirements, business background, approach used, knowledge of alternative methods, identifying model deficiencies   - Generation of model validation metrics & other results: Data requirements for generating metrics and exposure to relevant software to generate results  - Interpreting and making recommendation for alternative methodologies plus generating right reports to interpret results of validation process  - Expertise or exposure to reviewing validation coding, running simulation stress tests, and developing alternative implementations as a cross-check.   - Exposure to varied validation software’s used in validation. (Excel/VBA, Matlab, C++, R, SAS, etc.) used for validation  - Detailed knowledge of relevant statistical tests and methodologies, related software, domain and product knowledge  - Detailed knowledge of relevant regulatory rules and guidelines from one of the top markets (US, EMEA, APAC)

Delhi NCR

Bangalore

Genpact - Assistant Manager/Manager - Credit/Market Risk 

Genpact - Assistant Manager/Manager - Credit/Market Risk  ,Job Description for Genpact - Assistant Manager/Manager - Credit/Market Risk  in Genpact in  Delhi NCR Bangalore for (3-8) years of experience. Apply Now!

Job Description for Genpact - Assistant Manager/Manager - Credit/Market Risk  in Genpact in  Delhi NCR Bangalore for (3-8) years of experience. Apply Now!