Assocaite - Model Risk Management

Acuity Knowledge Partners

2 - 4 years

8 - 16 Lacs

Bengaluru

Posted:2 weeks ago| Platform:

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Skills Required

Python Model Development FRM Credit Risk Model Validation Statistical Modeling CFA

Work Mode

Work from Office

Job Type

Full Time

Job Description

Analyst/ Associate @ Acuity Knowledge Partners (2-4 years Model Risk Management)

As part of the first line of defence, assess new and existing models for potential vulnerabilities, limitations, or misuse.
Review, analyse and interpret findings and observations from the model validation team.
Propose, implement and document required changes or enhancements to models, methodologies, data inputs, and assumption to address identified issues.
Define and develop relevant edge case scenarios (e.g., extreme market, credit, or borrower conditions) to robustly challenge model performance
Design and code analytical frameworks to simulate and test defined edge cases, ensuring comprehensive coverage of potential risk exposures.
Execute edge case testing, systematically record results, and analyze model responses to assess robustness and identify weaknesses.
Prepare detailed documentation of all analyses, code developed, and findings from edge case assessments, ensuring reproducibility and transparency.
Organize and maintain supporting evidence for all remediated issues and edge case testing, facilitating future reviews, audits, and regulatory examinations.

Desired Qualification

Masters degree in mathematics, statistics, data science, finance or a relevant field.
Experience in model development, model validation or model governance.
Programming experience with demonstrated exposure to multiple languages such as Python, SAS, R, MATLAB, SQL, VBA, C++ or similar languages.
Domain experience in Credit Risk, Market Risk, Operational Risk or relevant fields.
Experience with vendor financial data vendors: Bloomberg, Refinitiv, CRSP, MSCI, Markit, S&P Capital IQ, etc.
Solid understanding of financial predictive modeling, such as multi-factor risk models, time series forecasting, Value-At-Risk (VaR), optimization theory, and machine learning.
Attainment or progress toward at least one of the following: Graduate degree in business or quantitative discipline, Chartered Financial Analyst (CFA) charter, FRM or PRM risk management certifications, Certified Investment Management Analyst (CIMA) certification.
Demonstrated history of strong analytical skills and attention to detail.

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