Market Risk Role - Model Validation - BFSI Sector - Consulting Firm

About the client : A leading consulting company

Job Description :

- Develop and validate market risk methodologies and frameworks including validation of derivative pricing models for conceptual soundness and performance.

- The role involves business analysis and system implementation and testing.

- Presenting the validation findings to senior validators and various model risk management stakeholders.

- Basel implementation along with latest regulatory developments around Incremental Risk Charge (IRC), Expected Shortfall, Credit value adjustment (CVA), Potential Future Exposures (PFE), Counterparty Credit Risk (CCR), etc.

- Perform valuation and market risk measurement (risk sensitivities, VaR, stress testing, counterparty credit risk etc.) modelling for various treasury products like bonds, derivatives, options and other exotic products

Skill Sets :

- 5 + years of experience in the Financial markets / bank's treasury middle office / market risk function with a degree in MBA or equivalent Master's degree in Finance, Statistics, Economics or Mathematics from premium institutes required.

- Knowledge of quantitative finance concepts such as stochastic calculus, pricing theory as well as statistical modelling concepts.

- Understanding of the derivative markets and quantitative training and strong problem solving as well computer skills (Excel, VBA) are necessary.

- Good understanding of Global regulatory environment

- Experience in managing large projects with respect to market risk / treasury and working in teams involving various stakeholders

- Willingness to travel - both domestic as well as internationally.

- Excellent communication skills and programming skills in Python

Location : Mumbai