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10/03 Irfan Sayyed
Senior Recruitment Consultant at Black Turtle

Views:830 Applications:192 Rec. Actions:Recruiter Actions:76

Analyst/Senior Analyst/Assistant Manager - Model Validation/Market Risk/Credit Risk - Big4 (1-10 yrs)

Bangalore Job Code: 901314

Urgently hiring for one of the big 4s in Bangalore.

- Key engagement responsibilities would be :

- Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioural models

- Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management.

- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.

- Experience in validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.,

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc.,

- Programming skills: SAS, R, Python. Expertise is one of these programming languages is a must. Programming ability in C++ is preferred.

- Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

- Managing multiple junior analysts in the execution of the quantitative analyses supporting each project-related deliverable

Women-friendly workplace:

Maternity and Paternity Benefits

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