Executive/Senior/AM - Market Risk/Model Validation - Big4

We are hiring for One of the Big 4.

Role : Executive/senior/AM

Qualifications : Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or

Any Graduate + MBA in finance with relevant experience/exposure.

- Additional certifications: Professional Certification such as FRM, CFA preferred

Responsibilities :

- Model development/validation/audit/review primarily for market risk including but not limited to Value at Risk models, and/or pricing and valuation models primarily for CCAR/DFAST reporting including CVA models. Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.

- Proactively work with Seniors, AM and Managers for key deliverables in line with Project requirement

- Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

- Experience in valuation of derivatives or structured products, development or validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.,

- Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc., Programming skills: SAS, R, Python. Expertise is one of these programming languages is a must. Programming ability in C++ would be a plus

- Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values

- Excellent written and verbal communication skills