Market Risk Model Validation

Our Client:

Our clients is a leading financial services firm and is seeking an experienced professional to join their Market Risk team modelling team based out of Delhi NCR

Key Responsibilities

- Designing, enhancing, implementing, and executing financial risk and valuation models & tools to support the Bank's objectives and the Bank's risk management functions

- Developing and implementing appropriate controls to mitigate model risk including well-controlled, documented procedures for model execution, thorough model documentation, effective procedures to test model code, data quality checks, model diagnostics, and ongoing model performance monitoring

- Incorporating feedback on model design and implementation from validators and other stakeholders

- Maintaining familiarity with regulatory and market developments that impact model performance

Successful Applicant:

- Master's degree or Ph.D. in Economics, Statistics, Finance, Financial Engineering, or Business preferably with an emphasis on quantitative risk or valuation modeling; additional professional credentials such as FRM, CFA, or PRM are desirable

- At least 5 years experience of designing, enhancing, and implementing valuation and risk models/analytics across a range of asset types including fixed income securities, structured products, and whole loans.

- Extensive knowledge of market risk, credit risk, and counterparty credit risk methodologies

- Extensive background in econometric modeling (regression analysis, time-series modeling, volatility models, cross-sectional models, multivariate models, and Monte-Carlo simulation); knowledge of MatLab, VBA, Bloomberg, and Intex (desirable)

- Strong written and oral communication skills, including the ability to explain complex, technical issues and make clear recommendations to stakeholders

- Ability to assimilate new information, understand complex topics, execute sound judgment, develop sound conclusions and make recommendations in a timely manner

- Exceptional interpersonal skills - ability to communicate, collaborate, and influence a diverse group of stakeholders