AVP - Market Risk Modelling - Investment Bank Captive - IIT/IIM/NIT

AVP Market Risk Modelling

Top MNC investment bank Captive hiring AVP for Market Risk Modelling team in Mumbai.

Candidate Qualification : PhD / M. Sc (Financial Engineering / Statistics / Mathematics) / M.Tech / B.Tech from (IIT / BITS / NITS) / IIM PG / Tier I institute

Experience required : Minimum 5-10 years

Job Location : Mumbai

Designation : AVP

Set Skills : Risk Model Validation / Stress VaR, IRC / Market Risk Modelling

Responsibilities :

- Understand the Market Risk Framework used at Bank

- Work with Lines of Business to understand key risk drivers in the Bank, and conceptualize an appropriate modeling methodology to stress Market Risk RWA

- Lead and Manage design, implementation and testing of a Market Risk RWA stress testing framework for CCAR in conjunction with senior management at Risk, Front Office and Cluster managers

- Present stress testing results to senior management

- Work with model validation teams to get the market risk RWA and other related models validated

- Run the developed models during CCAR runs, and document the results for the banks CCAR submission

You offer :

- 5-10 years of experience with Market risk modeling, statistical testing, time series methodology or stress testing & scenario analysis

- A Bachelors/Master's/PhD degree in a quantitative discipline

- Experience with statistical tools and risk management tools

- Ability to work under tight deadline and high pressure environments

- Excellent communication skills ability to present complicated modeling concepts and techniques to senior management clearly and visually

- Ability to implement proof of concept solutions in order to present or test ideas quickly.