Executive/SeniorManager/AM/Manager - Market Risk - Big4

Market Risk - Big 4

We are looking for One of the Big 4.

Role : Executive/Senior/AM/Manager

Responsibilities :

- Model development/validation/audit/review of market risk models for Pricing, Analytics, Stress Testing, Risk management, etc.

- Validation process involves review of supporting documents, preparing test plan, comprehensive testing and validation report writing. Testing includes building independent challenger models to verify implementation and accuracy of 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 asset classes viz., Equities, Credit, IR, FX, Commodities, Mortgages, etc. Additional experience in Value at Risk computations and Var backtesting preferred

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

- Strong analytical skills. Excellence in stochastic calculus, interest rate models, time series analysis, simulation techniques, option pricing theory (quant models for pricing and hedging derivatives).

- Programming skills: Excel VBA, R, Python. Expertise in one of these programming languages is a must. Working knowledge of Vendor models: Bloomberg, Bloomberg MARS/DLIB, Riskmetrics, Numerix, Murex, Intex, etc.

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

- Detail oriented

- Excellent written and verbal communication skills

- Team player

- Ability to work independently and motivate team members