IndusInd Bank - Senior Role - Market Risk Model Validation - IIT/NITIE/ISI/CA

DESIRED EXPERIENCE -

6 - 14 years of experience in quants and analytics for Market and Liquidity Risk Management in Private Sector Banks/Foreign banks/Public Sector banks / Consulting firms.

Candidate shall possess comprehensive understanding of Market Risk / Liquidity Risk model creation/validation, Understanding of treasury products valuation methodologies / Sensitivities/ VaR, Statistical tools, behavioral analysis, etc.

Candidate should also possess working knowledge of latest prevailing regulatory guidelines.

Responsibility Areas

- Initial Model Validation

- Regular model validation per calendar of review

- Model framework review and documentation

- Back testing of Model and improvisation /issue remediation

- New model Framework creation in line with Regulatory guidelines and best industry practices.

- Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through excel sheets / Python, etc.

- Ability to price Vanilla as well as structured products through excel spreadsheets or software's such as Python, R studio, etc.

- Ability to create new models from white papers.

- End to end model creation and validation for Liquidity risk models.

- Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation.

- Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement.

- Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data.

- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.

- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

- Defining stress scenarios and stress testing methodologies

- Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc.

- P&L attribution analysis based on first and second order sensitivities and underlying market movements

- In depth understanding of advanced structured products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its risk and valuation.

- Shall have granular understating of latest regulatory developments in market risk and liquidity risk domain including FRTB, SIMM, NSFR and IND-AS.

- Supporting creation of models, maintenance and execution of risk model validation processes

- Providing input into ongoing development and refinement of risk model monitoring, validation, reporting frameworks and methodologies.

- Oversight of ongoing risk model monitoring and reporting;

- Ongoing management and maintenance of the Risk Models Inventory

- Understanding of Liquidity standards prescribed under Basel III

- Ability to create new models basis the organizational requirement.

- Periodic review and enhancement in the risk models.

- Periodic back-testing of behavioral analysis undertaken.

- Putting up the results of the model validation to higher authorities/ Committees.

- Implementation of Interest Rate Risk in Banking Book models.

- Documentation of Models for Market and Liquidity Risk.

SKILL SET

Educational / Professional Qualification MSC in Mathematics/Statistics, Graduate from IIT/NITIE /ISI / NIBM, MBA, CA.

Risk Management qualification like FRM / PRM / CFA will be preferred.

Technical Knowledge

- Strong analytical, numerical research and problem solving skills.

- Knowledge of working on Software's such as Python, R Studio, SAS, SQL, Power BI, etc.

- Strong analytical and problem solving skills.

- Proficient with MS Excel, Excel Macro

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality

- Knowledge of financial products and/or quantitative modelling in the Banking industry.