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Associate Consultant at CareerNet Consulting
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Analyst/Senior Analyst/Manager - Model Risk Management - Market Risk (1-5 yrs)
- Minimum 2 years of experience of financial modelling experience in validation/development in Risk Management in Market Risk
- Master's degree in Mathematics/Statistics/Economic/Engineering/Computer Science/Management or any other quantitative fields of study.
- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis
- Proficiency in SAS / R, Python, Matlab and MS Office tools like Excel & PowerPoint
- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value
- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models
- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc
- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc
- Candidate should have worked on Asset Liability Management models (Liquidity and IRRBB) including Net Interest Income (NII) modeling, Economic Value of Equity EVE modeling etc
- Candidate should have strong understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7.
- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends
- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.
- Strong business acumen with out-of-the box thinking to drive improved business performance
- Strong stakeholder management skills and seamless delivery of analytics initiatives across markets
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