Associate - Market Risk - Model Validation - Investment Bank

About the client : A leading investment Bank

Job Description :

1. Development and Validation of market risk models

2. Validate models under stress and scenario analysis. Assess model performance against the models presented by the modelers

3. Subject-matter-expertise in analysis of fixed-income products, derivatives and portfolio risk

4. Developing deep understanding of financial modelling theory and techniques

5. Regularly follow global markets to understand how industry changes affect modelling and update those changes in existing models

6. Check model's performance and implementation

Skill Sets :

- 3 + years of experience in the Financial markets / bank's treasury middle office / market risk function with a degree in MBA or equivalent Master's degree in Finance, Statistics, Economics or Mathematics from premium institutes required.

- Coding experience in quantitative modelling / model validation, using C++, Python, R, Matlab.

- Knowledge of quantitative finance concepts such as stochastic calculus, pricing theory as well as statistical modelling concepts.

- Understanding of the derivative markets and quantitative training and strong problem solving as well computer skills (Excel, VBA) are necessary.

- Excellent communication skills and programming skills in Python