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ERM Placement Services
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Senior Manager Model Validation

Senior Manager Model Validation

ERM Placement Services

12 - 20 years

|

50 - 55 Lacs

Posted:11 hours ago| Platform:

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Skills Required

market risk model development

Work Mode

Hybrid

Job Type

Full Time

Job Description

Act as technical lead and subject matter expert in Model Risk Management, model development/validation for Market Risk (VaR, Stressed VaR, Expected Shortfall) and Counterparty Credit Risk (CVA, PFE).
Advise clients on Financial Services Risk Management, focusing on traded products risk and capital.
Lead quantitative risk engagements including derivatives pricing, market risk, and credit risk modeling.

Technical Expertise

Strong knowledge of:

Statistical & numerical techniques (Monte Carlo, Finite Difference).
Pricing models: Equity, Interest Rate (HW1F, HW2F, HJM, LMM), Stochastic Volatility (SABR, Heston), Local Volatility (Dupire).
Volatility calibration, IR curve bootstrapping, ALM (NII, MVPE), Prepayment Models.
Mathematical concepts: Stochastic Calculus, ODE/PDE/SDE, Linear Algebra, Measure Theory.

Proficiency in Python/R/C++ for quantitative modeling.

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