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Assistant Team Lead at Think People
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Market Risk Model Validation Role - BFS (2-10 yrs)
1) Good understanding of Stochastic Calculus, GBM process and Jump Diffusion models.
2) Good grasp of Value at Risk (VaR), Expected Shortfall (ES), Risk Not in Var(RNIV) etc.
3) Risk Model Back testing/Validation/Modelling experience. At least VaR (Value at Risk) models
4) Good knowledge of statistics and knowledge of distributions like Normal and Log Normal. Understanding of Statistical Tests.
5) Good grasp of model validation process, SR11-7 guidelines.
6) Good team handling skills
7) Good communication skills
8) Good programming skills(Python,R).
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