Market Risk Modelling Role - Consulting Firm

One of our clients who is leading consulting firm with presence across globe, planning to expand model validation team in Mumbai, Gurgaon, and Bangalore.

Hence, actively looking to hire candidates with 6+ years of work experience in investment / asset management model development / validation with people management experience.

Some of the key responsibilities will include :

- Engaging with model validation team and work on validating the Murex model.

- Responsible for performing validation of Murex pricing and risk models.

- Provide independent review and validation compliant with Model Risk Management policies and procedures.

- Validation / Development of SIMM model while monitoring SIMM Initial margin, SIMM 10D VaR, Risk Not in SIMM.

- Validation/Development of Market Risk Models such as VaR Models, SVaR, Taylor VaR, RNIV, SIMM, SIMM breaches, back testing, Capital Impact Assessment, Quantitative risk Analysis.

To be eligible for this role you will require :

- Qualified degree in quantitative discipline such as Statistics, Mathematics, Physics, Biology, or Financial Mathematics.

- Understanding of SIMM, VaR, FRTB, market risk models, pricing, and derivative model structures.

- Prior experience of working on Murex is mandatory.

- Python, C++, C#, Java to repurpose Python code for VaR calculation engine or building VaR calculation engine from scratch.