Yes Bank - Senior Manager - Market Risk - Model Creation

Senior Manager (Market Risk - Model Creation)

- The Individual will be responsible for designing / enhancing current models used in Market Risk / ALM Risk / counter-party risk models used for efficient risk exposure management and these models calculate risk of the Bank reported to Senior Management on a regular basis as a key input to risk management decision making.

- Models must use methodologies that are theoretically sound, with modeling choices, assumptions and parameters that are justifiable and supportable.

- The incumbent ensures that model development, implementation, data input, reporting, documentation, preliminary validation and maintenance use best practices, adhere to consistency and quality standards, and follow the guidance of policies / procedures and regulatory requirements.

The desired skill-set for the ideal candidate include :

- Market risk experience: derivatives, fixed income securities, VaR, CVA / DVA, PFE, Duration GAP, ALM Behavior analysis etc.

- Strong Statistical understanding and their application in Market Risk analysis.

- Expert user of Excel / VBA / Statistical Tools