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10/06 Aarju Baghel
Associate Consultant at Black Turtle India Pvt Ltd

Views:354 Applications:75 Rec. Actions:Recruiter Actions:25

Financial Risk Management Role - BFSI (3-8 yrs)

Mumbai/Gurgaon/Gurugram/Bangalore/Pune Job Code: 1272066

Urgent requirements within Financial Risk Management (FRM) - Risk Advisory for the details highlighted below:

Job Description:

Must have skill set:

- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks

Good understanding of:

- Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration

- Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis

- Market Risk Model Development or Validation experience covering

- VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products

- Pricing (linear instruments and Derivatives)

- Curve construction and calibration

- MR Capital computation (Standardised approach/IMA/FRTB)

- Economic Capital computation

- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines

- Time Series analysis and forecasting

- Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)

- Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD

- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)

- Preparation of model documentation, model monitoring plans, model validation reports

- Should be open for travelling

- Should have good communication skills (English)

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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