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

- Development and analysis of quantitative models both financial and non-financial focused on, but not limited to stress testing, security valuation, interest rate modeling

- Employ robust model development efforts to ensure production of high-quality models

- Coordinate and support subsequent model validation efforts

- Create, review, and update robust and comprehensive model documentation (methodology guide, user guide, policy documents, etc.), partnering with model administrators, model users to ensure that the risks inherent in model development and usage are properly identified and managed

- Analyze complex quantitative models, draws appropriate conclusions and makes recommendations to management.

- Ensure the Bank's model risk management efforts meet industry best practices and regulatory requirements.

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

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