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Manager - Risk/Digital & Analytics Practice at Michael Page India
Views:2693 Applications:146 Rec. Actions:Recruiter Actions:18
Market & Credit Risk Model Development (4-8 yrs)
About Our Client
Our client is a leading insurance/reinsurance organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, they are looking to setup a new capital modelling team from scratch and are looking for quant professionals across levels.
Job Description
Reporting into the SVP, your key responsibilities would include:
- Developing and managing market risk & asset return models used to assess economic and statutory capital requirements
- Qualitative and quantitative validation of internal models under Basel II norms
- Undertake stress testing and back testing of market risk models
- Managing the quarterly evaluation of market risk and asset credit risk
- Assist in delivering quality data and develop standard modeling tools and individual risk modules
- Develop detailed documentation for risk models and aggregation
- Undertake counter party credit risk and Credit Value Adjustment (CVA)
- Provide support for group level solvency II initiative
The Successful Applicant
- You are a Masters from a Tier 1 institution with a minimum 4 years of relevant experience in the risk model development/quant modeling domain
- You should be very strong in mathematics with excellent understanding of stochastic calculus, binomial / trinomial tree building techniques, Monte Carlo simulation, etc.
- Hands on experience in VaR computation and thorough understanding of Incremental Risk Charge (IRC)
- You must have strong programming skills (C++/Java, Excel VBA, MATLAB, etc).
- Certifications such as CFA/CQF are preferred
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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