Market Risk-Model creation and Validation - Leading Private Sector Bank In Mumbai. Candidate shall have 2 - 7 years of experience in quants and analytics for Market Risk Management in Banks/Consulting firms. Candidate shall possess comprehensive understanding of Market Risk model creation/validation, Treasury products valuation methodology, Sensitivities, VaR etc. Candidate shall possess working knowledge of latest prevailing regulatory guidelines. - Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through excel sheets - Ability to price Vanilla as well as structured products through excel spreadsheets or software's such as Python, R studio, etc. - Ability to create new models from white papers. - End to end model creation and validation for Liquidity risk models. - Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation. - Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement. - Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data. - Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks. - Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios. - Defining stress scenarios and stress testing methodologies - Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc. - P&L attribution analysis based on first and second order sensitivities and underlying market movements - In depth understanding of advanced structured products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its risk and valuation. - Shall have granular understating of latest regulatory developments in market risk and liquidity risk domain including FRTB, SIMM, NSFR and IND-AS.

Mumbai

Market Risk Role - Model Creation & Validation - Bank 

Market Risk Role - Model Creation & Validation - Bank  ,Job Description for Market Risk Role - Model Creation & Validation - Bank  in Talent Proz Consultants in  Mumbai for (2-15) years of experience. Apply Now!

Job Description for Market Risk Role - Model Creation & Validation - Bank  in Talent Proz Consultants in  Mumbai for (2-15) years of experience. Apply Now!