Posted By
Pavana Karkera
Key Account Leader - Recruitment at Contactx Resource Management
Last Login: 31 October 2022
2142
JOB VIEWS
272
APPLICATIONS
37
RECRUITER ACTIONS
Posted in
Banking & Finance
Job Code
1116045
Exp : 4 - 12 Years
- You will be working with the independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models across business functions, and development of challenger models as necessary.
- It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. You will be expected to work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models.
Your activities will include, but will not be limited to the following:
- End-to-end independent validation of market risk and regulatory models - VaR, SVaR, Expected Shortfall, RNiV, PFE, CVA
- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use
- Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines
- Development of benchmark models for derivatives valuation and sensitivity analysis.
- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques
- Prepare model validation report summarizing findings and provide recommendations
Qualifications we seek in you:
Minimum qualifications :
- Post-graduate degree / diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes
- Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1
- Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1
- 1-5 years experience in Banking or Capital Markets, with experience in market risk reporting or model validation.
- Knowledge of VaR, Expected Shortfall or Counterparty Credit Risk modelling.
- Knowledge of product valuation in any of Fixed Income or Derivatives
- Knowledge of stochastic models such as Black Scholes, Hull & White, SABR etc) will be added advantage.
- Strong working knowledge of Excel, Python/R in this field.
- Good communication/presentation skills - written & verbal
- Self-driven, proactive, can-do-attitude. Ability to work under ambiguity and with minimal supervision
Preferred qualifications:
- Strong networking, negotiation and influencing skills
- Some understanding and experience in at least one of the regulatory risk modeling/validation guidelines - SR 11-7, FRTB etc
- Exposure to any treasury system such as Murex, Calypso, FIS Adaptiv etc.
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Posted By
Pavana Karkera
Key Account Leader - Recruitment at Contactx Resource Management
Last Login: 31 October 2022
2142
JOB VIEWS
272
APPLICATIONS
37
RECRUITER ACTIONS
Posted in
Banking & Finance
Job Code
1116045