Consultant/assistant Manager/manager Market Risk/model Validation/development Big4
Job Description
Market Risk - Model Validation/Development - Big 4
We are hiring for One of the Big 4.
Role : Consultant/AM/Manager
Responsibilities :
- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks
Good understanding of:
- Market Risk Model Development or Validation experience covering
- VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products
- Pricing (linear instruments and Derivatives)
- Curve construction and calibration
- MR Capital computation (Standardised approach/IMA/FRTB)
- Economic Capital computation
- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)
- Preparation of model documentation, model monitoring plans, model validation reports
- Should be open for travelling
- Should have good communication skills (English)
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Job Detail
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Job IdJD2971605
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IndustryNot mentioned
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Total Positions1
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Job Type:Full Time
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Salary:Not mentioned
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Employment StatusPermanent
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Job LocationIndia, India
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EducationNot mentioned
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ExperienceYear