Director - Market Risk Quants - Consulting Firm

Industry - Consultancy

Skills - Market Risk, Quants, Statistical Modeling, Model Validation, Stress Testing, VaR, Counterparty Credit Risk,Model Development, Treasury

Job Type - Permanent

Description - This is a high impact role in the Market Risk Quants space. The role is with a prestigious consulting firm and promises excellent career growth and remuneration opportunities to the right candidate.

Client Details :

Our client is a reputed international consulting firm with diverse businesses in more than 100 countries across the globe.
They operate across assurance, taxation, consulting and advisory services with clients comprising several Fortune 500 firms. They are consistently ranked as one of the best companies to work for in the world.

Description :

Some of the key responsibilities in this role will include:-

- Leadership for a team of highly qualified and ambitious Analysts and Managers

- Develop and validate market risk methodologies and frameworks including validation of derivative pricing models for conceptual soundness and performance.

- The role involves business analysis and system implementation and testing.

- Presenting the validation findings to senior validators and various model risk management stakeholders.

- Basel implementation along with latest regulatory developments around Incremental Risk Charge (IRC), Expected Shortfall, Credit value adjustment (CVA), Potential Future Exposures (PFE), Counterparty Credit Risk (CCR), etc.

- Perform valuation and market risk measurement (risk sensitivities, VaR, stress testing, counterparty credit risk etc.) modelling for various treasury products like bonds, derivatives, options and other exotic products

Profile :

A successful candidate will have among others, the following broad competencies:-

-10 + years of experience in the Financial markets / bank's treasury middle office / market risk function

- A PhD, MBA or equivalent Master's degree in Finance, Statistics, Economics or Mathematics from premium institutes like ISI, IIMs, MDI, FMS, XLRI, IITs, DSE etcetera

- 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.

- Good understanding of Global regulatory environment

- Experience in managing large projects with respect to market risk / treasury and working in teams involving various stakeholders

- Willingness to travel - both domestic as well as internationally.

- Excellent communication skills and programming skills in Python

Job Offer :

This is an excellent opportunity with a reputed international consulting firm with offices in more than 100 countries across the world. They are consistently ranked as one of the best companies to work for in the world.

This is a high impact role in the Market Risk Quants space. It promises excellent career growth and remuneration opportunities to the right candidate.

Page Group India is acting as an Employment Agency in relation to this vacancy.

Contact - Kumar Pratyush

The Apply Button will redirect you to website. Please apply there as well.