Assistant Manager TA at Evalueserve
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Evalueserve - Manager - Market Risk (4-9 yrs)
Manager ( Market Risk) with Evalueserve
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
- 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.
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