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HR Lead at Acuity Knowledge Partners
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Acuity Knowledge Partners - Market Risk Role - Model Validation (5-9 yrs)
- We are looking for a candidate with experience in market risk model validation and monitoring to support our engagements with leading financial institutions.
- The position requires the ability to analyze complex mathematical models used in market risk management, ability to program mathematical models, broad and continuous attention to detail, comprehensive documentation, and interactions with business functions.
- candidate will have a working knowledge of the Basel regulatory frameworks, comfort in handling mathematical models used in market risk management and strong documentation skills.
- Gain deep understanding of the model inventory and the model risk management framework and lifecycle of the client
- Validate Pricing, VaR, ES, Risk Charge (IRC, DRC, IDR, etc.), NMR, CRM and Stress Testing models used for internal risk management and provisioning as well as regulatory submissions.
- Understanding of the Basel Capital Accord including FRTB regulations.
- SA as well as any experience with IMA will be a big plus.
- Drive adoption of best practices for model validation, assessment and documentation.
- Provide support to clients model risk management group in meeting their regulatory commitments.
- Working knowledge of machine learning models such as Decision Trees, Max Margin Classifiers and model ensemble ideas such as bagging, boosting and stacking
- Well versed in one of R/Python and MS Excel.
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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