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22/02 Dhanya Maniyath
Recruitment Sourcing Manager at Allegis

Views:485 Applications:104 Rec. Actions:Recruiter Actions:61

Assistant Manager - Market Risk Modeling/Validation - BFSI (3-6 yrs)

Bangalore Job Code: 1224326

Support the manager in the following duties:

- Perform activities pertaining to First Line of defense based on the Model Risk Management Framework for traded models:

- Support Model users

- Model development based on best industry practice

- Model validation

- Model calibration and monitoring

- Assist the Risk steward functions in second line of defense activities

- Model documentation in line with SABB standards

- Maintain the WRM model inventory up to date

- Assisting in conducting New Product Due Diligence from a Traded Risk perspective.

- Support all governance forums by providing timely inputs and escalating issues when required.

- Provide model risk expertise of Traded Risk Products of SABB, working in conjunction with Product Controls, Front Office, Global Markets Operations and other support and control functions.

- Participating in the model development cycle in conjunction with BAs and system owners

- Support the model reviews by IMR, Internal and external Audit as well as regulatory visits. Implement the findings in a timely manner.

Qualifications - External

What you will need to succeed in the role:

- Strong quantitative background, with a degree (Masters/PhD preferred) in Statistics/ Econometrics/ Economics/Mathematical Science/Engineering/Finance. Fresh graduate can apply.

- No Minimum of years of relevant experience. Preferred range will be between 0-2 years in either model development or model validation or model management.

- Good understanding of pricing, valuation, VaR, XVA, PFE

- Some knowledge on the products covered: Loans & Deposits, Bonds, FX (Spot, Option, FX Swap, Non Deliverable Forward, Forwards), Rates (IRS, FRA, Options (Caps & Floors)), Cross Currency Swaps, Islamic Market Linked Deposit

- Academic knowledge or working experience on at least one of the following models: Black, Hull-White model (1 factor), Garman-Kohlhagen.

- Good programming skills (VBA, MATLAB, Python etc.) in order to replicate the models (for validation etc.) or making proof of concepts. Knowledge of numerical methods applied on these models is a definite advantage.

- Knowledge of MUREX will be a competitive advantage.

- Ability to collaborate and communicate effectively, including within onshore / offshore team set-ups.

- Ability to drive results in a limited time duration and handle constant work related pressure.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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