Market Risk Model Validation/Development

Role & responsibilities

Candidate must have relevant experience in in statistical / mathematical modeling, quantitative

research, counterparty and market risk management, or related field at a reputed bank,

investment or broker services, asset management firm or a consulting firm. Wider skill requirements

include:

• Independently built and managed quantitative market and counterparty risk analytical models
• Strong experience/knowledge in at least some of the following areas (in quant space)
• Counterparty Credit Risk (PFE, CVA, XVA)
• Pricing and valuation - Derivatives (across one or more asset classes)
• Modeling of Risk Metrics (e.g, EPE, PFE, RWA, Greeks)
• Market Risk Scenarios and Stress Testing
• Development, prototyping and back-testing of Monte Carlo Credit Exposure Models
• Incremental default risk, specific risk charge and stressed VaR
• Worked on multiple Market Risk Models like to develop/review calculation

of VaR(Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/

development and present value for various type of instruments using any statistical tool

• Strong experience/knowledge in at least some of the following areas (business knowledge)
• Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at

risk, ETL, PV01, Independent Validation, Exotic derivatives, FX, Interest rate derivatives,

volatility, commodities, credit derivatives, Fixed income, Hull & White, Monte Carlo

simulation, Capital calculationso Knowledge and experience with counterparty risk concepts (PFE,SA-CCR, EPE etc

• Leveraging experiential know-how of a wide range of financial products like Equity,

Derivative, Swaps, IR, Credit derivatives, OTC products, Swaps, Securitization, CDO's etc.

• Knowledge of one or more of global regulatory Topics BASEL II/III, IFRS 9,

CCAR/DFAST, CECL, FRTB, SR-11/7 around data sufficiency, modeling methods,

industry standards etc.

• Assisted clients to design and implement strategic and functional changes across risk

management, treasury, front office, middle office, and back office activities with a focus

on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational

Preferred candidate profile