AVP - Model Validation - Market Risk

We are looking for following profile for a Bank in Mumbai. Candidate shall have more than 5 years of experience in Market Risk Management in Banks. Candidate shall possess comprehensive understanding of Market Risk Management, Treasury products, Valuation methodology, Sensitivities and VaR etc. Candidate should have worked in Model Validation role at least for 3 to 5 years.

Responsible for Market Risk Management functions:

- Validation of the Valuation of Treasury products (Forex, Fixed Income, Derivatives, Equity and others) from Treasury System (Calypso) as well as Market Risk System (SAS)

- Validation of the Risk parameters (Delta, Gamma, Vega, PV01, etc.) of Treasury products (Forex, Fixed Income, Derivatives, Equity and others) from Treasury System (Calypso) as well as Market Risk System (SAS)

- Validation of various models (VaR, Stress Test, back test, etc.) being used for Market risk management

- Validation of various models (SLS, LCR, NSFR, etc.) being used for Liquidity risk management

- Building up of Excel/R/Python based models for valuations and risk including curve construction and volatility smile

- Preparation and maintenance of Model documentation with minutest details

- Review and up-gradation of VaR, Stressed VaR, Back testing, PFE, CVA methodologies and carrying out extensive model validation activities

- Defining model validation standards and suggesting required changes, if required.

- Validation of Market data / derived market data, positions and other reports being used for risk analysis

- Validation of methodologies assumptions and implementation of risk models for Treasury products

- Assessing the adequacy for implemented models & Review of Risk system functionalities.

- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio risk management

- P&L attribution analysis based on first and second order sensitivities and underlying market movements

- Preparation of Regulatory and internal daily and periodical reports and Board notes with accuracy and timely submission

Skill Set and Qualifications

- Strong understanding of Treasury products, their Risk and Valuation

- MBA(Finance) from tier 1, tier 2 institute, CFA, Chartered Accountant with strong aptitude for Quant

- Risk Management qualification like FRM / PRM will have added advantage

- Able to work and develop models in R Studio, Python, etc. will have an added advantage

- Experience of more than 3 years in Model validation

- Strong analytical and problem solving skills

- Proficient with MS Excel and Excel Macro

- 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

Monika