Senior Analyst/Manager/AVP - Model Risk Validation - Credit Risk

Work you'll do:

- Provide valuation services for fixed income instruments and derivatives on interest rates, foreign exchange, equity and credit for both internal and external clients

- Work on consulting projects related to financial instrument modeling, model review, Model validation, Credit Risk, securities pricing, and risk management including support for regulatory compliance

- Developing or validating pricing models for banks as required by regulatory guidance

- Ability to multi-task and communicate effectively with clients and staff in consultative settings. Maintain effective communications with client and team to ensure client satisfaction.

The team

Our Client's MRM team is comprised of Masters in Statistics, Finance, Financial Engineering and Ph.Ds etc. focused on qualitative assessment and quantitative modeling in the areas of Market Risk, Credit Risk, Operational Risk, Liquidity Risk as per regulatory guidelines like CCAR / Stress Testing, BASEL II.5 / III in US and CRD IV/CRR in EMEA regulations. The team also does valuation of complex financial products such as derivatives and structured products. Our value proposition includes industry, financial accounting and business process knowledge, proven methodologies that include risk and control concepts, deep expertise in advanced quantitative, data extraction, data mining and analytical skills.

Qualifications

Required (any one):

- Masters in Quantitative Finance

- MBA with Finance major

Preferred:

- Certifications: CFA / FRM

- Experience in programming languages such as Python or R or SAS

The key job responsibilities include the following -

- Serve as a team member for Financial Instrument Valuation practice. The work will focus on valuation of fixed income instruments, and derivatives in on interest rates, foreign exchange, equity and credit for both internal and external clients, and consulting projects related to financial instrument modeling, model review, securities pricing, and risk management including support for regulatory compliance.

- Work on assigned project responsibilities and meet project requirements.

- Serve as member on engagement where responsibilities include detailed execution of valuation and modeling projects and documentation of modeling methodologies and results.

- Ability to multi-task and communicate effectively with clients and staff in consultative settings. Maintain effective communications with client and team to ensure client satisfaction.

The key skills required

- Strong undergraduates with engineering/ mathematics and statistics background and/or relevant work experience in financial services and capital markets would be considered. Additionally candidates with validation of pricing models with CFA/ FRM would be preferred.

- Background in mathematical finance at the level of a Master's level degree in Mathematical Finance, Mathematics of Finance, Financial Engineering or Quantitative Finance is a strong plus.

- Advanced degree like Ph.D. in related fields is a plus.

- Background in derivatives finance, including detailed knowledge of derivatives theory and securities pricing and financial instrument types and structures is a plus.

- Understanding of financial instrument valuation concepts is desired and experience with derivatives and complex financial instruments valuation is a plus.

- Strong analytical and computer skills including experience with quantitative analysis technical tools and techniques such as Python, R, Bloomberg, MATLAB, SAS and Monte-Carlo Simulation.

- Experience in model validation like Asset Liability Management is a plus

- Personal characteristics should include: presentation, consulting, project management, client, and training / mentoring skills; strong presence and good communications and interpersonal skills; conceptual and quantitative depth in valuation methodologies and concepts and underlying markets and models.

- Ability to explain difficult financial modeling/valuation concepts to diverse audiences and to experts at various clients.

- Related consulting experience is a plus.