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20/10 Lagan Saluja
Assistant Manager TA at Evalueserve

Views:286 Applications:64 Rec. Actions:Recruiter Actions:5

Evalueserve - Manager - Market Risk (4-9 yrs)

Gurgaon/Gurugram Job Code: 1170399

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

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.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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