Manager/Assistant Vice President - Market Risk Model Development/Validation - Investment Bank

We are hiring for a leading Investment bank based at Mumbai

Experience :

3-8 yrs in Model Development/Model Validation for financial Services in Market risk models/ with good Python programming skills

Education : Masters / MBA; in Economics, Mathematics, Statistics, Finance, Computer science From Tier 1 with good knowledge in VAR / FRTB/Pricing Models, Desk Quants

Role & Responsibilities :

- Developing Market risk Models - VAR / FRTB/Pricing Models, Desk Quants and Strategists, Black-Scholes, Economic Risk Capital,

- Development of take ownership for managing risk and strengthening controls in relation to the work you own or contribute .

- Manage the model life cycle from first line of defense perspective and participate in Segmentation

- End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes.

- Responsible for understanding changes to quantitative requirements published by MRM in Model Testing Guidance and presenting the key changes to senior model development leads

- Model governance and support includes reviewing and timely submission of model documentations such as - Model development document

- Contribute to model convergence initiatives as part of firms Transformation journey for different businesses.

- Domain knowledge and experience in FRTB, VaR, Expected Shortfall (ES), BASEL, Monte Carlo Simulation, Stress Testing, Exposure Modeling, CVA, Pricing Models, Desk Quants and Strategists, Black-Scholes, Economic Risk Capital, Incremental Risk Charge

Certification - GARP-FRM, PRM, CQF, AI/ML Courses, Coding and Computer Programming