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

We are a leading recruiter firm having opening with one of our Big4 Client for Bangalore location.

Position: Market Risk Model Validation

Location : Bangalore

We are recruiting for Exec/ Senior in the statistical & quantitative modeling team. Your responsibilities will include :

- Work with our clients in the US / UK market to assist them in market risk engagements pertaining to model development/validation and valuation.

Key engagement responsibilities would be :

- 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.

- 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.

Preferred Skills :

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

Note : The candidate should be comfortable working in a closed lab environment setup.

1. Are you familiar with VaR methodology and can explain what is a historical simulation?-

2. Have you worked on model validation or aware of model validation steps?

3. What technical market risk methodologies are you most competent with?

4. Which regulation are you most aware of and do you know about FRTB?