Evalueserve - Manager/Group Manager - Market Risk

Job description :

The person will be required to work on one or more of the risk and compliance models for a global asset management firm including but not limited to the following:

- Market/Credit/Traded risk models for various asset classes including VaR models and Asset Pricing Models

- Credit Risk Methodology models including counterparty credit risk models

- Operational risk models

- Asset management models, e.g. portfolio construction and portfolio risk .

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 qualitative review of the model; examine documentation for 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 :

- Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development

- Ability to think out of the box and work on models not encountered before

- Programming skills are essential for the role. Strong knowledge in one or more of the following programming languages Python, R, Matlab.; Experience with QuantLib and other open source quant libraries is a plus

- Working knowledge of C++ gained in the industry.

- Ability to articulate ideas and make recommendations. evalueserve.com - 2022 Evalueserve. All rights reserved.

- 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