Senior AVP - Market Risk & Model Development - Investment Bank

Hiring for one of the leading Investment banks in Mumbai

The Candidate should have :

1. Degree in mathematics, physics, econometrics, statistics, or engineering is preferred. Professional qualification e.g. CFA, FRM, PRIMA would be an advantage

2. Good understanding of financial and derivative products, and risk modeling. Strong foundation in Probability and Statistics

3. Excellent analytical and problem-solving skills, and knowledge of risk management concepts and techniques such as VaR, Stressed VaR, regression, and time-series modeling

4. Have experience/knowledge of market risk RWA modeling for example VaR/SVaR, CVA, etc.

5. Proficiency in programming languages such as R, Python, C++, Matlab

6. Good MS Excel/ Access/SQL and VBA knowledge

7. Strong presentation skills; able to document and communicate complex topics to a diverse range of audiences

8. Willingness to question and challenge the status quo and ability to provide alternative approaches

9. Dedication to fostering an inclusive culture and valuing diverse perspectives

Responsibilities:

1. Develop models, ensuring theoretical soundness by employing advanced mathematical and statistical techniques

2. Demonstrate independence in testing design and execution, results in interpretation and presentation, and production of robust documentation

3. Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture

4. Play a role in the documentation and review of risk capture, sensitivities, and data assets used in the model

5. Assist in preparing presentations for senior management covering change impacts, methodology features, and capital implications

6. Collaborate with Quant Strats internal and external teams on the development, implementation, and review of projections models