Director - Market Risk Methodology - Consulting Firm

Looking to hire for One of the Consulting firm based in Mumbai.

Co Name: One of the top Consulting Firm

Designation: Director

Exp:9+yrs

Profile: Market Risk Methodology

Responsibilities:

- Re calibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

- Theoretical back testing for the performance measurement of internal models, in particular Value-at-Risk models

- Data analysis and preparation for credit risk rating model development and parameter calibrations

- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses

- Work with Market Data team to extend theoretical back testing to more recent time periods

- Work with CRM units to explain outcomes of the score monitoring and/or data quality / operation teams on artefacts detected in the model development data