Genpact - Assistant Manager/Manager - Market Risk/C#

Inviting applications for AM/Manager - Market Risk + C# - Gurugram/Kolkata/Gurugram

Assistant Manager / Manager, Model Development

Function: BCM - Data & Advanced Analytics

Location : India (Bangalore or Gurgaon or Kolkata)

With a startup spirit and 90,000+ curious and courageous minds, we have the expertise to go deep with the world's biggest brands-and we have fun doing it. Now, we're calling all you rule-breakers and risk-takers who see the world differently and are bold enough to reinvent it. Come, transform with us.

Are you the one we are looking for?

- We are inviting applications for the role of Assistant Manager / Manager, Model Development

- In this role, you will be responsible for model development, implementation & documentation - for a BFS client in the US

Responsibilities :

- You will be working with the model development function of a large banking client and will focus on data validation, model methodology, calibration, implementation and monitoring of risk and regulatory models across business functions, and development of challenger models as necessary.

- It will also involve interaction with various stakeholder groups including model validation, model owners/lines of business, auditors, and client model developers.

- You will be expected to work hands-on to assess models, build and lead development teams, and bring in thought leadership and domain/quantitative best practices to present an effective challenge to the models.

Your activities will include, but will not be limited to the following :

- Work hands-on in development, re-development, and calibration of risk and regulatory models, including but not limited to pricing and valuation models covering at least one of Fixed Income, Equity, FX, Commodities, and Credit derivatives.

- Modelling strategies for automated decisions to facilitate the functioning of trading desks.

- Data and quantitative analysis to support modelling decisions and ensure the correctness of the market data sourced from several vendors.

- Work on the development of model methodologies, algorithms, and diagnostic tools for testing model robustness, sensitivity, and stability.

- Detailing of model techniques and interpretation of variables used in the models to be documented and presented to client stakeholders.

- Develop model performance metrics and a detailed model monitoring plan to ensure continued use of the pricing and valuation models.

- Help develop thorough technical documents for distribution and presentation to senior management, model developers, auditors, and regulators.

- Bringing in industry best practices and consultative inputs to help deliver continuous value to client engagements in advanced risk analytics.

Qualifications we seek in you :

Minimum qualifications :

- Post-graduate degree/diploma in any of Finance, Financial Engineering, Quantitative Finance, Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF

- Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering or FRM / CQF

- 5+ years' experience in BFS analytics, primarily in market risk modelling.

- C# coding experience is mandatory

- Working knowledge in any of Spotfire, Tableau, SQL, SAS, R, Python, MATLAB, SPSS is required

- Excellent knowledge of various statistical techniques and proven skill in mathematical modelling (Black Scholes, Hull & White, Vasicek, SABR Etc.)

- Exposure to any treasury system such as Murex, Calypso, FIS Adaptiv, etc or market data providers such as Bloomberg and Reuters will be an added advantage

- Experience in working on VaR models for Rates, FX portfolios

- Some understanding of regulatory risk modelling/ validation guidelines - FRTB, SR 11-7, Stress Testing, Basel III IMA, CAR: Chapter 9, etc.

- Good networking, negotiation, and influencing skills

- Effective communication/presentation skills - written & verbal.

Preferred qualifications :

- Familiarity with corporate treasury (structural market risk)

- FRM or CQF certification is a plus

Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube.