Associate - Market Risk Methodology Testing - Investment Bank - IIT/ISI/IIM

Discipline - Banking

Subsector - Risk Management

Location - Delhi NCR

About our Client - Our client is a leading financial services organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, and are looking for a professional to help achieve their expansion plans.

Job Description - Reporting into the Methodology Testing lead, you shall be part of a newly created model testing team. Your key responsibilities shall include:

- Providing maintenance and testing of risk methodologies used in Market Risk

- Providing ongoing VaR Model Testing according to the internal model testing policies

- Providing analytical support to the users of the counterparty credit risk model output, and explaining how the exposure numbers are calculated

- Executing a programme of model testing (including back testing) to meet both internal and regulatory requirements

- Defining methodology to calculate model parameters and regularly review them

- Maintaining and developing of counterparty credit methodologies, and participate in projects to implement these

- Ensuring regulatory compliance and from identifying and remediating potential weaknesses in the internal risk models, thereby improving internal risk management capabilities

The Successful Candidate - You are a Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 4 years of experience in the Market Risk domain

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- In-depth knowledge of different methodologies to calculate risk measures, the ways in which these can be tested

- High level of skill in market risk model validation, statistical modeling, data analysis, time series analysis, simulation, etc.

- Ability to develop and prototype models in e.g. C++, VBA or Matlab, and to document them clearly

- Ability to form critical appraisal of existing methodologies

- Ability to find innovative solutions to a wide range of modeling problems

What's on Offer - Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.

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