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29/11 Lagan Saluja
Assistant Manager TA at Evalueserve

Views:692 Applications:133 Rec. Actions:Recruiter Actions:97

Evalueserve - Manager - Pricing Valuation - Model Risk (8-12 yrs)

Gurgaon/Gurugram Job Code: 1343496

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

What you'll need to have:

- A Master's or bachelor's degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Mathematics, Physics or Engineering)

- 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

Women-friendly workplace:

Maternity and Paternity Benefits

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