Market Risk Model Validation

DESIRED EXPERIENCE :

Candidate shall have 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

Responsibility Areas :

Responsible for Market Risk Model creation and Validation :

- 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.

SKILL SET :

- Educational / Professional Qualification MSC in Statistics, Graduate from IIT/NITIE /ISI, MBA (Fin.)/CA preferably with Mathematics or Statistics as one of the major subject at graduation / post-graduation level.

- Risk Management qualification like FRM / PRM or CFA will have an added advantage

Technical Knowledge :

- Expert knowledge of working on Software's such as Python, R Studio, SAS.

- Strong analytical and problem solving skills.

- Proficient with MS Excel, Excel Macro

- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management.

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality

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