Associate - Market Risk Model Validation - Investment Bank

Discipline: Banking

Subsector : Analytics

Location: Delhi NCR

About our Client : Our client is a leading investment bank with operations in more than 45 countries worldwide. They are an esteemed brand within the industry and always strive to recruit the best talent in the industry. With the current expansion in their global operations, they are looking for to hire an experienced professional for their market risk model validation team.

Job Description: Reporting into the Quant Lead, your shall be part of the market risk methodology testing team and your key responsibilities shall be to:

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

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

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

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

- Define methodology to calculate model parameters and regularly review them

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

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

The Successful Candidate:

- Bachelors/Masters/PHD from a Tier 1 institution with a minimum 4 years of relevant experience and certifications such as FRM, PRM, CFA, CQA shall be preferred

- Excellent experience of validation / testing of different risk models such as VaR models, counterparty credit risk models, regulatory capital models, Basel II/III models, credit portfolio models, economic capital models, etc

- Strong exposure to Stress Testing of risk models along with hands on in Matlab/Python/R or C/C++

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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