Job description : The person will be required to work on one or more of the risk and compliance models for global Investment bank which are following : - Market/Credit/Traded risk models for various asset classes (VaR models, stressed VaR Models, Asset Pricing Models, FRTB Models, Margining Models) - Credit Methodology models for wholesale, financial institutions (PD/LGD/EAD models, IRFS9, CECL, and counterparty credit risk models) - Stress testing models as under CCAR (Balance Sheet forecasting, PPNR, loss forecasting, Scenario enrichment modeling etc.) - Operational risk models including AML 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 Required : - Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development - Strong knowledge in one or more of the following programming languages: R / SAS, Matlab, Python, SQL programming, C++ ; 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 Education : - A Master's or bachelor's degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Mathematics, Physics or Engineering) Compensation : - To be decided on a case-by-case basis, pegged with the best in the industry.

Gurgaon/Gurugram

Evalueserve - Quantitative Risk Analytics Role 

Evalueserve - Quantitative Risk Analytics Role  ,Job Description for Evalueserve - Quantitative Risk Analytics Role  in Evalueserve in  Gurgaon/Gurugram for (7-12) years of experience. Apply Now!

Job Description for Evalueserve - Quantitative Risk Analytics Role  in Evalueserve in  Gurgaon/Gurugram for (7-12) years of experience. Apply Now!