Market Risk Role - BFSI

Model Validation, Model Development (Market Risk): 2-8 years of experience.

- Proven experience in market risk, risk modeling or model validation. Assess the model's conceptual soundness and methodology. Models - Value at Risk, Counterparty Risk Exposure models, Pricing of plain vanilla and exotic derivatives, FVA, PVA, IPV, Pricing of Credit derivatives (CVA, DVA calculation), FRTB (SA & IMA), Stress Test Models - CCAR etc. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions.

- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.

- Assess the model's conceptual soundness and methodology.

- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as qualitative or expert adjustments etc.

- Review outcome, impact, or benchmark analysis, or develop/ validate a benchmark model (as applicable)

- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations.

- Programming skills like: SAS, R, Python. Expertise in at least one of these programming languages would be an added advantage. Fair understanding of SQL.

- Proficient in Microsoft Word, Excel, Visio, and PowerPoint and Latex.