Model Validation - Industry Risk/Market Risk - Bank

Model Validation - Market Risk

About Our Client :

Our client is a respected bank.

About the role :

This is a senior level role and includes the responsibilities of handling treasury products and currency derivatives.

Principal responsibilities:

- Validation of Valuations of all the Treasury products (including non-linear and complex derivative structures)

- Should have handled Monte-Carlo based computation of VAR, Potential Future Exposure (PFE) and Expected Positive Exposure (EPE) CVA, economic capital computations for market risk etc. Knowledge of economic capital computations for Credit risk and IRB models will be preferred.

- Should be able to handle independently implementation of new products within the front-office and risk systems.

- Should be able to validate new pricing models and suggest changes to existing pricing models if required.

- Should be able to independently build up pricing and risk valuation engines on excel/ VBA/ any other platform for the purpose of testing and validation.

- Should be able to benchmark valuations and risk computations with industry standards and best practices.

- Exposure in currency derivative will be an added adnantage