Consultant/Assistant Manager - Financial Reporting - Financial Services

Consultant/Assistant Manager - Financial Reporting - RMBS, CMBS, ABS, Agency Securities )

1. Experience in valuations of Structured Products instruments including Bonds with embedded options, RMBS, CMBS, ABS and Agency Securities

2. Performed end to end Model Validation for Exotic models covering Equity and Rates Asset Classes under FRTB regulatory framework

3. VaR model governance documentation review including quantitative assessment:

a) Testing of appropriateness and suitability of market data

b) Adopt econometric models for gap-fills

c) Revaluation of portfolio positions

d) Re-compute VaR and analyse VaR for outliers

e) Assess MJs around models and outliers

4. Documentation of test results

- Independent model validation, IPV, pricing, risk process re-engineering

- Product level knowledge - RMBS, CMBS, ABS, Agency Securities, equity & credit exotic products

- Strong knowledge of SR 11/7, SR 15-18, CCAR/DFAST, FRTB, RNIV, capital charge computation

- Quant with R, Python skills

Asset classes Experience: (a) Credit products (b) Securitized products (c) Rates [IR & FX] (d) Equities (e) Commodities