Consultant/Assistant Manager/Manager - Market Risk/Model Validation/Development - Big4

Market Risk - Model Validation/Development - Big 4

We are hiring for One of the Big 4.

Role : Consultant/AM/Manager

Responsibilities :

- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks

Good understanding of:

- Market Risk Model Development or Validation experience covering

- VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products

- Pricing (linear instruments and Derivatives)

- Curve construction and calibration

- MR Capital computation (Standardised approach/IMA/FRTB)

- Economic Capital computation

- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)

- Preparation of model documentation, model monitoring plans, model validation reports

- Should be open for travelling

- Should have good communication skills (English)