Posted By
Posted in
Banking & Finance
Job Code
515917
Industry - Banking
Skills - Market Risk, Model Validation, Testing, Model Maintanence, Model Risk, Trded Model Risk, Model Development, Quant Risk, VAR
Job Type - Permanent
Job Description - Excellent opportunity to be a part of a team delivering analysis across all aspects of Traded Risk Models
Client Details :
Our client provides you with an exciting work and also ensures your personal and professional developments. Access to development and learning programs, services and support designed to help you manage work/life priorities.
Description :
- End to end role focused on analysis all all aspects of Traded Risk Models: Model Management, Performance testing, Validation, development & enhancements
- Work with Head of Traded Risk Model Management to conduct adequacy assessment of regulatory capital models - Counterparty Credit Risk & Market Risk Models
- Production of Quantitative submissions of Traded Risk models - VaR, IRC, CCR, CVA & RNIVs required for regulatory submission
- Periodic back testing of IMM & IMA engine. Stressed EEPE window benchmarking & Validation. Testing Market Risk model assumptions and identifying sources of model risk
- Implementation & embedding of Risk Assurance's Model Risk Framework for Traded Risk Models
- Conducting quantitative impact studies for any change based on regulatory directive or model enhancement for the relevant committees
Profile :
- Minimum 5 years of experience with Masters/PhD in Numerate disciple, prior experience in leading a sub-function in Quantitative Area / Market risk/Pricing Models.
- Good technical understanding - financial concepts, Quantitative finance & regulatory directives
- Understanding of Traded Risk - including understanding of Rates, FX, Credit asset classes product profiles and regulatory directives that governs the business activity
Job Offer :
An excellent opportunity to be a part of the Market Risk team of a leading Investment Bank.
Contact - Apurva Gopinath
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Posted By
Posted in
Banking & Finance
Job Code
515917