Senior Manager - Market Risk Model Validation/Development - BFS

We have an urgent requirement for Market Risk Model Validation/Development with one of our Big4 client, please find below the JD

Level - Senior Associate/Manager/Senior Manager

Market Risk Model Validation/Development Job Description

Model Validation, Model Development (Market Risk):

- Proven experience in market risk, risk modeling or model validation. Assess the models

conceptual soundness and methodology. Models Value at Risk, Counterparty Risk Exposure

models, Pricing of plain vanilla and exotic derivatives, FVA, PVA, IPV, Pricing of Credit derivatives (CVA, DVA calculation), FRTB (SA & IMA), Stress Test Models - CCAR etc. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions.

- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.

- Assess the model's conceptual soundness and methodology.

- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as qualitative or expert adjustments etc.

- Review outcome, impact, or benchmark analysis, or develop/ validate a benchmark model (as applicable)

- Assess model risk, perform model robustness analysis, and identify and evaluate model

limitations.

- Programming skills like: SAS, R, Python. Expertise in at least one of these programming languages would be an added advantage. Fair understanding of SQL.

- Proficient in Microsoft Word, Excel, Visio, and PowerPoint and Latex.

Role requirements

- Degree in finance, engineering, statistics, or a related quantitative field.

- 5- 8 years of overall (5-6 years of hands-on experience).

- Experience in R or Python.

- Experience in any Market risk asset class.

- Strong communication and stakeholder management skill.

- Experience in assessing market risk models and knowledge of FRTB and Libor transition would be an advantage.