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A pivotal role for a seasoned risk management professional with experience in Model development/ Model validation. You will be involved in risk model validation by Monte Carlo methodologies, counterparty credit risk measurement &amp; development, prototyping and back-testing of Monte Carlo Credit Exposure Models including collateral modelling, AIRB PD, LGD, Rating Models, CCF models. LOCATION: Mumbai YOUR FUTURE EMPLOYER: A leading, global firm with an illustrious range of financial and asset management services serving different market regions across the globe. YOU WILL BE RESPONSIBLE FOR: - Model performance monitoring for all credit risk models owned by Credit Analytics &amp; developing, prototyping and back-testing of Monte Carlo Credit Exposure Models including collateral modelling, AIRB PD, LGD, Rating Models, CCF models. - Performing portfolio analysis to identify major risk drivers and assisting in identifying potential risk-reducing trades - Improving current stress testing methodology in particular Scenario RWA &amp; designing methodology to calculate scenario exposure in the context of LPA, ICAAP, and IWST. - Leading multiple projects and have extensive experience in Model Development, Validation, and Calibration, LDP Modeling, Scorecard Development, Economic capital modeling, BASEL III /CCAR norms. - Managing the key stakeholders a strong communication and by explaining at suitable level movement and drivers of the various models and approaches used within Counterparty Credit Risk. - Extensive tactical data analysis and model development for client engagements using a variety of programming languages - Serving as subject matter authority on financial and statistical markets model development and validation expertise. THE SUCCESSFUL CANDIDATE: - A seasoned risk management professional with an analytical/numerical degree (Physics/Mathematics/Engineering), CFA/FRM/CQF will be preferred with over 4 -8 years of experience in Credit Risk model development &amp; validation, Model performance monitoring. - Should have experience and expertise in at least one of the following : &nbsp;OTC Derivatives, Secured Financing Transactions &nbsp;Pricing models &nbsp;Computation of risk metrics (e.g VaR, EPE, PFE, Greeks) &nbsp;Knowledge of AIRB parameters modeling ( PD, LGD, EAD, Rating Models) - Well versed with the regulatory landscape in Counterparty Credit Risk (CCR) Basel III, CRD -IV, BCBS - IOSCO, SR 11-Strong knowledge of regulatory requirements such as SR 11-7, Basel III and CCAR guidelines. - Very good programming skills, eg. R, MATLAB, Python or C++, VBA, SQL, and Office package is highly recommended - Excellent communication skills with strong quantitative and analytical background. WHAT IS IN FOR YOU: - A meritocratic culture with great career progression - Fast track career growth. REACH US: If you think this role will add value to your career, kindly apply along with your updated CV for a confidential discussion on the role.

Mumbai

AVP - Model Validation - Credit Risk & Pricing Models 

Job Description for AVP - Model Validation - Credit Risk & Pricing Models  in CRESCENDO GLOBAL LEADERSHIP HIRING INDIA PRIVATE L in  Mumbai for (4-9) years of experience. Apply Now!

AVP - Model Validation - Credit Risk & Pricing Models  | iimjobs.com