Consultant at Acies Consulting LLP
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Quantitative Specialist - Risk Model Development & Validation - BFSI (2-7 yrs)
Highlight of the engagement opportunity:
- Nature of role: Full time
- Number of years of experience expected: - (2 - 7) years.
- Educational qualification expected: Graduate/ Postgraduate/ Actuarial Science
- Areas of past experience preferred: Credit risk modeling, IFRS 9 PD / LGD/ EAD modeling, Retail
analytics, market risk, ALM modeling
- Preferred geography of previous work experience: India / Europe / APAC / US
- Application experience: Python, R, C++, MSSQL, VBA
Key responsibility areas:
- Work directly and manage BFSI/ Corporate clients across multiple geographies
- Preparation of reports, presentations and model validation summaries and present to client senior management
- Develop and validate quantitative models across several areas such as quantitative & actuarial modelling, ALM, financial risk management (credit, market and liquidity risks), treasury, FTP, budgeting and planning, climate risk, capital adequacy, stress testing.\\
- Develop end-to-end functionalities on PD, LGD, EAD, IFRS 9 / credit risk models and on financial instrument valuations, risk assessment, scenario analysis and simulations.
- Develop end to end functionalities for modelling macro-economic factors and market prices like Interest rate, Credit Spread, FX, Commodities and Volatility.
We seek to be transparent during the selection process. While the actual process may vary from the process indicated below, the key steps involved are as follows:
- Interview: There are expected to be at least 2 rounds of interviews. The number of interview rounds may increase depending on the criticality and seniority of the role involved.
- Final discussion on career and compensation: Post final selection, a separate discussion will be set up to discuss compensation and career growth. You are encouraged to seek any clarifications.
It is recommended that you prepare on the following aspects before the selection process:
- Demonstrate proficiency in financial instrument valuation and risk assessment
- Demonstrate proficiency in statistical, econometrics and time series analysis.
- Demonstrate proficiency in use of back-end server-side languages like Python/C++/Java
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