We have an urgent opening for an Investment Bank in Mumbai location.
For your reference please find the Job description below:
- Development of statistical and econometric models to forecast risk factors like Equity, Rates, Credit etc required for stress testing purpose
- Development of macro & financial models using a variety of quantitative techniques ranging from statistics, econometrics and time series analysis utilized for Group Wide stress testing
- The model development, documentation and validation should adhere to SR 11-7 standards
- Communicate complex modeling and statistical concepts to senior levels of internal management
- Understanding and interpretation of data including data gathering and cleaning to ensure data is fit for use
- To contribute in the design and calibration of forward looking internal and regulatory stress testing scenarios
- Test the models on extensive technical and fundamental criteria to ensure models are fit for purpose
- Communicate complex modeling and statistical concepts to senior levels of internal management
- Understanding and interpretation of data including data gathering and cleaning to ensure data is fit for use
- Provide comprehensive documentation of models including analysis on technical aspects of statistical models for model validation purpose
- Generate forecasts for various risk factors for a range of baseline and stress scenarios
- Excellent financial/statistical modeling skills with a strong quantitative background - Graduation from a top tier technology or management institute
- Strong knowledge of statistical concepts
- Knowledge of statistical packages (such as R) is a plus
- Excellent communication skills
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