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28/10 Meryl
Consultant at Black Turtle

Views:522 Applications:135 Rec. Actions:Recruiter Actions:54

Market Risk Model Validation Role - Investment Bank (8-12 yrs)

Bangalore Job Code: 859890

- Desired candidate must have relevant experience in in statistical modeling, quantitative research, stochastic calculus, market risk management, or related field

- Independently build/validate and manage quantitative market risk analytical models

- Strong experience/knowledge in at least some of the following modeling areas (in quant space)

- Pricing and valuation models - Derivatives (across one or more asset classes)

- Market Risk Scenarios and Stress Testing

- Interest Rate Curve Generation

- Worked on Market Risk Models like to develop/review calculation of VaR (Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool (SAS/R/ Python)

- Strong experience/knowledge in at least some of the following business areas

- Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.

- Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.

- Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.

- Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.

- Keep up to date with industry and academic model research.

- Assist clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.

- Programming and Algorithms: R, Python, Sas, VBA etc.

- Experience with various tools like Murex, Fincad, Reuters, QRM, Bloomberg, Algo etc. is a plus.

Non-functional skills:

- Understand 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

- Excellent oral and written communication skills

- Solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data

- Process orientation with strong technical skills and attention to detail

- Demonstrate deep technical capabilities and industry knowledge of financial product

- Willingness to travel to meet client needs

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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