Manager - Market Risk Model Validation

- Review and validate front office derivative pricing and market risk models across asset classes

- Develop and validate risk modelling frameworks for both market risk and counterparty credit risk

- Development and Implementation of benchmark models and methodologies in C++, Python, R etc.

- Perform Independent model testing and assess assumptions, limitations, and model framework

- Develop, Implement, and backtest regulatory models such as IRRBB, FRTB, RNIV and VaR/ES.

- Prepare coherent and comprehensive documentation reports.

- Lead and mentor team of Analysts

- Support model owners on model findings and validation queries

Skills we are looking for:

- Good knowledge of one or more asset classes (Equity, Rates, FX etc.)

- Good experience in development/validation of derivatives pricing and market risk models

- Good Knowledge of Financial Mathematics: Stochastic Calculus, Monte Carlo Methods, Numerical schemes of PDEs etc.

- Knowledge in advanced derivatives modelling and knowledge of volatility models preferred.

- Knowledge of market risk regulations and experience in implementation of regulatory models

- Strong proficiency in one or more of the following programming languages C++, Python, R, MATLAB.

- Strong regulatory understanding such as BASEL, CCAR, DFAST, CECL, SR-11/7 etc.

- Understanding of market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the client's business

- Robust verbal, written and interpersonal communication skills.

- Excellent presentation and report writing skills.

- Self-starter with strong problem-solving skills

- Project management and leadership qualities

Qualifications:

- Bachelors/Masters in a quantitative discipline (Engineering, Maths, Physics, CS.)

- Certifications such as CFA, FRM, CQF, IIQF is a plus