About Our Client :

Our client is a leading Middle Eastern bank with operations across the world. They are looking at expanding operations and are setting up business in India, they are looking for a seasoned professional having solid exposure to diverse areas within the market risk domain.

Job Description :

Reporting into the Group Risk head, you would start off as in individual contributor and would be responsible for setting up the market risk model development & validation function from scratch. The primary objective of this function would be to support the Valuation Risk within the Group Market Risk while covering IRD, FX and Commodities & Credit derivatives models.

Your key responsibilities shall include :

- Carry out an independent detailed validation of existing pricing models in the following asset classes: IR, FX, Equity, Commodity and credit.

- Improve the current products/models with a special emphasis on valuation and risk management.

- Define the methodology for a complete and consistent risk capture in conjunction with Front Office and other Risk & Control functions.

- Assist senior management building a clear view on the valuation model risk within the Group

- Assist a team of Risk Analysts in any quantitative analysis and development

- Eventually build an independent library of pricing tools

The Successful Applicant :

- You are a PHD or Master's in Statistics / Economics/ Mathematics/ Science or any other quantitative discipline from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 8 years of experience in the Market Risk/quant domain

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- Broad knowledge of financial markets, financial mathematics, industry best practice risk modelling methodologies, knowledge of financial products (FI, FX, commodities, equities, derivatives), their pricing models and a basic knowledge of stochastic calculus, statistics and numerical resolution methods.

- Essential skills include the ability to develop models in C++ or Matlab environment

- Strong knowledge of quantitative models (multi-curve framework, interest rate models and volatility, commodities and credit derivatives).

- Hands-on experience with model implementations using Monte Carlo simulation, tree method and finite difference method.

- Advanced mathematical skills and previous experience working as a quant with financial quantitative modelling and risk analytics.

- Knowledge of Murex, Numerix would be a distinct advantage

What's on Offer :

Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation

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