Evalueserve - Market Risk Analyst

Job Title: Market Risk- Model Validation

Location: Gurugram/ Bengaluru

Type: Full time- Hybrid

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

Skills we're looking for:

- 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 C++, Python, R, Matlab.; 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.