Quantitative Models Validation - Market risk

Mastermind Network

8 - 10 years

30 - 45 Lacs

kolkata gurugram bengaluru

Posted:19 hours ago| Platform:

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Skills Required

stochastic calculus model validation model validator model risk management model development counterparty credit risk quantitative analysis monte carlo qunatiative analytics market risk quantitative

Work Mode

Hybrid

Job Type

Full Time

Job Description

Model Validation (Credit risk/ Market risk)

We are hiring for a leading Financial KPO organization based at Bangalore/Gurugram/ Kolkatta

Position : Sr Manager - Quant Model Validation

Experience : 8-10 yrs in experience in model validation/ development, quantitative modelling
Strong understanding of model risk, validation frameworks, and regulatory requirements. Strong technical skills in python for model development.

Education : B.tech/ Masters / MBA - in Economics, Mathematics, Statistics, Finance, Computer science

Role & Responsibilities :

Responsible for being validator for a wide range of models like IRRBB, credit risk, market risk, counterparty credit risk, fraud detection, Stress Testing, AML and forecasting models
Working with independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models
Independent model validation, especially comprehensive model validation within 2nd line of defense, using SR 11-7 or similar guidelines.
Exhaustive model validation will include conceptual assessment of models use, method, assumptions, limitations and on-going monitoring and control, models outcome analysis.
Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques
Good understanding of vanilla and exotic derivatives in all asset classes, and their impact on various market risk (VaR, SVaR, FRTB SBM, DRC and RRAO) and CCR components.
Thorough understanding of stochastic processes and their models, stochastic volatility models, yield curve models
Good understanding of conventions of various markets like treasury, fixed income, equities, commodities etc.

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