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Department: Market Risk Operations   Level: BPO 4/5, VaR Modeler   Job Title: Quant modeler  Reports to: Team Leader  Job Summary:  - Required to carry out VaR model validation within Market Risk team   Primary Responsibilities:  - The VaR Modeler is principally responsible for validating whether a model or methodology is adequate for the purpose of determination of VaR. This involves not only building the model, validation of the model but also re-calibrating it to meet requirements.   - To accomplish this task, the VaR modeler works with the Front office teams, market risk managers and market risk IT (either internal or external) to understand, define and document the project requirements/issues.   - The VaR modeler applies qualitative and quantitative techniques to determine market risk.  Duties will include:  - Take initiative in building, developing and following the model validation process   - Understand model validation requirements in details for Market risk domain  - Work with cross functional team to ensure that all prerequisites are met  - Help with the development of modeling process  - Re-calibrate the model based on changes in regulatory and business requirements  - Documentation of model validation results  - Propose best modeling technique and work as a team to develop new VaR model for the bank  Primary Working relationships:  - Onshore team (Singapore and London)  - Market risk Managers (Global)   Job Requirements:   Education:  - Post -Graduate in Finance  - MS in Statistics, Finance  - PhD in Econometrics, Statistics, Maths (preferred)  - Certified in Market risk management. Preferably FRM or CFA.  Experience:  - Experience in validation of risk models & complete understanding of principles of risk model validation   - Experience in reviewing conceptual validation of models, generating reports to interpret results of validation process  - Exposure to validation software's used (Excel/VBA, Matlab, C++, R, SAS, etc.)  - Knowledge of and/or 3+ years of experience with, relevant statistical tests and methodologies   - Related software, domain and product knowledge  - Knowledge of relevant regulatory rules and guidelines  Skills:  - Excellent Communication skills  - Attention to detail  - Strong analytical, problem solving and critical thinking skills  - Advanced Excel skills   - Advanced knowledge of various asset classes including Fx, Rates, Equities and Credit

Mumbai

TCS - Quant Modeler - VaR Model Validation   

Job Description for TCS - Quant Modeler - VaR Model Validation    in Tata Consultancy Services Ltd. in  Mumbai for (3-8) years of experience. Apply Now!

TCS - Quant Modeler - VaR Model Validation    | iimjobs.com