Assistant Manager - Market Risk Model Validation/Development/Derivatives - Banking

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.