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Evalueserve - Credit Risk Role (5-10 yrs)
Hiring for Credit Risk Professional for our Gurgaon Location
Job description
The person will be required to work on one or more of the risk and compliance models for global Investment bank which are following:
- Market/Credit/Traded risk models for various asset classes (VaR models, stressed VaR Models, Asset Pricing Models, FRTB Models, Margining Models)
- Credit Methodology models for wholesale, financial institutions (PD/LGD/EAD models, IRFS9, CECL, and counterparty credit risk models)
- Stress testing models as under CCAR (Balance Sheet forecasting, PPNR, loss forecasting, Scenario enrichment modeling etc.)
- Operational risk models including AML
Important responsibilities in this role will include:
- Performing various initial and /or ongoing model validation tasks independently or in collaboration with senior quants in New York and London
- Create approach note and testing plan for validation of the assigned model; Decide upon appropriate methodology for benchmarking and challenger models
- Conduct a qualitative review of the model; examine the documentation for a detailed description of the theory, references to the base model, product description, mathematical and technical parameters
- Develop and code challenger models for benchmarking and for validation of high-risk models
- Review model implementation into the production code; Perform additional testing
- Perform direct and indirect validation of calibration in the models
- Conduct model risk analysis, stress testing and other tests under different scenarios
- Draft a validation report with executive summary with approval/disapproval, restrictions on model usage; summary of findings and remediation plans
Skill Set Required
- Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development
- Strong knowledge in one or more of the following programming languages: R / SAS, Matlab, Python, SQL programming, C++ ; Experience with QuantLib and other open source quant libraries is a plus
- Ability to articulate ideas and make recommendations.
- Proficiency in developing and giving presentations.
- Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels
- Strong analytical and interpersonal skills
Education
A Master's or bachelor's degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Mathematics, Physics or Engineering)
Compensation
To be decided on a case-by-case basis, pegged with the best in the industry.
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