About the Role:

We are looking for an experienced Market Risk Model Developer with knowledge and expertise in FRTB IMA, Economic Capital, Value at Risk (VaR) and Counterparty Credit Risk (CCR). The ideal candidate will have strong experience in developing, validating, or enhancing market risk models used for regulatory capital, trading portfolios, and fixed income products. This role requires a solid understanding of statistical modeling, quantitative finance, and market risk methodologies within investment banking or financial services.

Key Responsibilities:

- Develop, enhance, and validate Market Risk models, including models related to VaR, SVaR and CvaR, FRTB IMA, Pricing and simulation model.

- Build and maintain quantitative models for fixed income instruments, corporate bonds, options, and derivative products.

- Understanding, testing and recalibration of Independent Pricing Valuation (IPV) models.

- Design and implement Monte Carlo Simulation frameworks for pricing and market risk measurement.

- Assist the team in maintaining the various models along with the Model validation and review team.

- Support regulatory initiatives related to FRTB, Expected Shortfall (ES), and market risk capital calculations.

- Work on Incremental Risk Charge (IRC) and credit migration risk methodologies.

- Perform model backtesting, benchmarking, stress testing, and sensitivity analysis.

- Collaborate with Risk, Front Office, Model Validation, and Technology teams to deliver robust quantitative solutions.

- Prepare model documentation and support internal governance, audit, and regulatory reviews.

Required Skills:

- Strong understanding of Market Risk concepts and methodologies.

- Hands-on experience with Value at Risk (VaR) methodologies calculation (Historical, Monte Carlo, Parametric).

- Knowledge of Incremental Risk Charge (IRC), Expected Shortfall, and regulatory capital frameworks.

- Understanding on the pricing and valuations of the various derivative products of different asset classes as FX, Rates, Bonds, and other exotic derivatives.

- Experience with Python for quantitative model development (Must); proficiency in SQL is preferred.

- Strong knowledge of probability, statistics, numerical methods, and quantitative finance.

- Excellent analytical, problem-solving, and stakeholder management skills.

Preferred Qualifications:

- Experience working in investment banking or global financial institutions.

- Familiarity with model validation, model governance, or quantitative risk methodology teams.

- Master's degree in Quantitative Finance, Financial Engineering, Mathematics, Statistics, Economics, or a related quantitative discipline.