Posted By
Posted in
Banking & Finance
Job Code
1366059
AVP - Market Risk - Model Validation
Educational / Professional Qualification :
- MSC in Statistics, Graduate from IIT/NITIE /ISI, MBA (Fin.)/CA preferably with Mathematics or Statistics as one of the major subjects graduation / post-graduation level.
- Risk Management qualification like FRM / PRM or CFA will have an added advantage
- Responsible for Market Risk Model creation and Validation
- Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through excel sheets
- Ability to price Vanilla as well as structured products through excel spreadsheets or software's such as Python, R studio, etc.
- Ability to create new models from white papers.
- End to end model creation and validation for Liquidity risk models.
- Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation.
- Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement.
- Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data.
- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.
- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.
- Defining stress scenarios and stress testing methodologies
- Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc.
- P&L attribution analysis based on first and second order sensitivities and underlying market movements
- In depth understanding of advanced structured products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its risk and valuation.
- Shall have granular understating of latest regulatory developments in market risk and liquidity risk domain including FRTB, SIMM, NSFR and IND-AS.
Technical Knowledge
- Expert knowledge of working on Software's such as Python, R Studio, SAS.
- Strong analytical and problem solving skills.
- Proficient with MS Excel, Excel Macro
- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management.
- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.
- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality
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Posted By
Posted in
Banking & Finance
Job Code
1366059