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Managing Director at Edge In Asia Recruitment Private Limited
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Senior Model Development Lead - Investment Bank (6-10 yrs)
Our client, a leading Global Investment Banks who is keen to hire a Model risk developer / Validator in Mumbai. Hence, actively looking to hire candidates with at least 6+ years of hands-on risk modelling or Validation (credit/market/Counterparty) within an investment bank or associated consulting firms.
We're looking for someone who is eager to perform independent development. This is an excellent platform for personal and professional development within a highly committed and collaborative team in an international and fast-paced environment.
Some of the key responsibilities will include:
- Work on projects related to Economic/Regulatory capital models (e.g., FRTB).
- Development of model to capture credit and market risk.
- Development of IRC (Incremental Risk Charge), CRM (Comprehensive Risk measure) and tail risk models.
- Actively participate in validation of the models/model-changes during implementation phase.
- Interacting with stakeholders: model validators and users, senior management, internal and external audit, and regulators, as a representative of the bank's independent control function for model risk.
- Lead a team of 2 analyst.
To be eligible for this role you will require:
- Qualified degree in economics, science, technology, mathematics, engineering.
- Excellent quantitative and statistical modelling skills.
- Proven experience of working with R/Python/SAS.
- Experience working on IRC/DRC and ERC.
- Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.
- Experience in banking regulatory capital, CCAR, ICAAP, RWA, Basel II/III, stress testing would be advantageous.
- FRM/ CFA certification would be an advantage.
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