Associate/AVP - Quant Risk Model Validation - Insurance

This position is part of the Financial Risk Management function which is responsible for model validation tasks for financial market products and other related requests.

Country/Location: India - Bangalore

Division/Department: Financial Risk Management

Job Family: JF - Risk Managements

Corporate Title: Associate/AVP

Type: Permanent staff

Principal Responsibilities:

Work within a multi-location team (London, Zurich and NY) on model validation tasks for derivative and security products valuation and risk methodology, covering various asset classes which include fixed income, equity, credit derivatives, insurance-linked derivative, and commodities. Model review of market risk aggregation in methodologies such as VaR, Stress and credit risk measurement.

Model review of financial risk representation in insurance products. risk require critical analysis of product and modelling technique, model testing (including independent implementation of the model), alternative model analysis and documentation of results and conclusions. Follow up on identified issues, ensure resolution or containment.

Produce documentation summarizing validation of the model in question according to the standards, quantify model risk.

Required profile: Background -

- Strong academic background. A Master's Degree or equivalent in a quantitative discipline or a graduate in engineering from premier institutes is preferred

- Strong understanding of stochastic calculus, derivatives pricing theory & numerical methods is required

- Four - six years of experience in a modelling/model validation capacity is a plus

- Actuarial qualifications/professional experience in the field of (re)insurance is welcome

Skills -

- It is essential that he/she possesses proactive attitude, and is able/willing to learn new areas and apply generaI technical knowledge to new specific situations.

- Very good written communication skills. An example of a technical report produced by the candidate wouId be requested as a part of the screening process

- Very good technical skills, ability and willingness to examine new systems and methodologies with perfect documentation

- Good organisational skills, ability to handle multiple priorities and meet dead lines

Technical SkilIs

Very good Excel and VBA skills

Other programming environment experience is a pIus.