Management Trainee at Genpact
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Genpact - Assistant Manager/Manager/Senior Manager - Market Risk Model Validation (2-10 yrs)
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
- 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.