Posted By
Irfan Sayyed
Manager Operations at Hector and Streak Consulting PVT. LTD.
Last Login: 19 December 2023
127
JOB VIEWS
22
APPLICATIONS
4
RECRUITER ACTIONS
Posted in
Banking & Finance
Job Code
1286401
Model Risk Management-Manager
Important responsibilities in this role will include:
- 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
Qualification:
- Bachelors/Masters in a quantitative discipline (Engineering, Maths, Physics, CS.)
- Certifications such as CFA, FRM, CQF, IIQF is a plus
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Posted By
Irfan Sayyed
Manager Operations at Hector and Streak Consulting PVT. LTD.
Last Login: 19 December 2023
127
JOB VIEWS
22
APPLICATIONS
4
RECRUITER ACTIONS
Posted in
Banking & Finance
Job Code
1286401