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22/11 Kumari Komal
Management Trainee at Genpact

Views:1409 Applications:211 Rec. Actions:Recruiter Actions:31

Genpact - Assistant Manager/Manager/Senior Manager - Market Risk Model Validation (2-10 yrs)

Gurgaon/Gurugram/Kolkata/Delhi NCR/Delhi/Bangalore Job Code: 1183838

Inviting applications for Market Risk Model Validation role - AM/M/SM

- 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, Model Validation

- In this role, you will be responsible for independent model validation

Responsibilities :

- You will be working with the independent model validation function of a large banking client and will involve end-to-end validation 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 development, model owners/lines of business, auditors and client model validators.

- You will be expected to bring in thought leadership and domain/quantitative best practices to present effective challenge to the models.

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

- End-to-end independent validation of derivatives pricing models or market risk models (like VaR and SVaR)

- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use

- Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines

- Identification tests and evaluation of test result to challenge model methodology, assumptions, limitations, effectiveness, etc.

- Assessment of the model monitoring and implementation process

- Prepare model validation report summarizing findings and provide recommendations

Qualifications we seek in you :

Minimum qualifications :

- Post-graduate degree / diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes.

- Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering.

- Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering and FRM / CQF certified.

- Relevant experience in BFS analytics Market Risk model validation trading products valuation model validation

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

- Good understanding and experience in at least one of the regulatory risk modeling / validation guidelines - SR 11-7, FRTB, Stress Testing, Basel III IMA, CAR: Chapter 9,etc.

- Exposure to (as an user or a data consumer) any treasury system such as Murex, Calypso, FIS Adaptiv, etc. or market data providers such as Bloomberg and Reuters.

- Working knowledge of Excel, Python/R in this field

- Strong networking, negotiation and influencing skills

- Good communication/presentation skills - written & verbal.

- Self-driven, proactive, "can-do" attitude. Ability to work under ambiguity and with minimal supervision.

Preferred qualifications :

- FRM or CQF 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.

Women-friendly workplace:

Maternity and Paternity Benefits

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