Model Validation Role - Market/Credit Risk - BFSI (8-15 yrs)
- Person would be responsible for developing/validating/auditing market risk models and assisting clients on related issues.
- Desired candidate must have relevant experience in in statistical modeling, quantitative research, stochastic calculus, market risk management, or a related field
- Independently build/validate and manage quantitative market risk analytical models
- Strong experience/knowledge in at least some of the following modeling areas (in quant space)
- Pricing and valuation models- Derivatives (across one or more asset classes)
- Market Risk Scenarios and Stress Testing
- Interest Rate Curve Generation
- Worked on Market Risk Models like to develop/review calculation of VaR(Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool (SAS/R/ Python)
- Strong experience/knowledge in at least some of the following business areas
- Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.
- Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.
- Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.
- Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.
- Keep up to date with industry and academic model research.
- Assist clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back-office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.
- Programming and Algorithms: R, Python, Sas, VBA etc.
- Experience with various tools like Murex, Fincad, Reuters, QRM, Bloomberg, Algo etc. is a plus.
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