Upgrade to Pro Member
Team Lead at Black Turtle
Views:5364 Applications:68 Rec. Actions:Recruiter Actions:60
VP - Quantitative Risk Management - Market Risk Model Validation - Investment Banking (8-15 yrs)
Currently hiring for a client based in Mumbai
Co Name: Leading Investment Banking Mnc.
Designation: VP
Role:
Key Responsibilities:
The Market Risk Analytics team is responsible for developing and maintaining market risk models used for both risk management and regulatory capital purpose. These models currently include Value-at-Risk (VaR), Stressed VaR (SVaR), Incremental Risk Charge (IRC) for trading book migration and default risk, and Comprehensive Risk Measure (CRM) for credit correlation trading.
The successful candidate will be responsible for:
- Develop methodologies, algorithms and diagnostic tools for testing model robustness, stability and performance.
- Perform reliability analysis and quality control of modeling data and model results.
- Develop and maintain technical documentation for default likelihood and rating migration methodologies and applications; including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
2-Step Verification - Action Required
We've updated our security procedures!
Your privacy and security are important to us. We've recently updated our security measures to make iimjobs.com safer and more secure for you. This change requires you to reset your password.
Please reset your password using the link sent to your email. If you did not receive any email, please check your spam folder..
