Associate - Market Risk Model Validation - IIT/IIM/ISI

Associate - Market Risk Model Validation

Discipline - Banking

Subsector - Analytics

Location - Delhi NCR

About our Client - Our client is a leading financial services organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, and are looking for a professional to help achieve their expansion plans.

Job Description :

- Reporting into the Head of VaR Model Testing, you shall be part of a newly created VaR Model testing team.

- The objective of the team would be to review various VaR models and ensure that the models are compliant with the regulatory standards. Your key responsibilities shall include:

- Plan and perform annual VaR model review and PLAF testing across businesses and asset classes

- Identify technically robust approaches to assessing the overall VaR modeling approach

- Organize the execution of periodic model reviews, liaising with relevant business unit risk managers

- Produce high quality model review reports and ensure that reports are processed through the governance structure in a timely and efficient manner and that issues arising are properly tracked, prioritized and auctioned

- Work closely with risk managers of relevant asset classes, to be aware of latest changes in risk mappings, representations, position compositions

- Organizing execution of the periodic model checks while considering the implications of results e.g. enhancements in the approach to the back-testing of the VaR model

- Keep abreast of the regulatory changes in methodology (BIPRU, CRD3, CRD4) with regards to model standards

The Successful Candidate :

- You are a Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 4 years of experience in the Market Risk domain

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- Strong exposure to diverse asset classes with understanding of market conditions (volatility, extreme price moves) is essential

- Excellent understanding of VAR methodologies along with knowledge of regulatory requirements (FSA, EU/CRD and Basel/BIS)

- Proficient in Excel/VBA, JAVA, Python, MATLAB, R, etc

What's on Offer - Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.

The Apply Button will redirect you to Michael Page's website. Please apply there as well.