Evalueserve is a global professional services provider offering research, analytics, and data management services. We- re powered by mind+machine - a unique combination of human expertise and best-in-class technologies that use smart algorithms to simplify key tasks. This approach enables us to design and manage processes that can generate and harness insights on a large scale, significantly cutting costs and timescales, and helping businesses that partner with us to overtake competition. We work with clients across a wide range of industries and business functions, helping them to make better decisions, faster; reach new levels of efficiency and effectiveness; and see a tangible impact on their top and bottom line. We are committed to providing equal employment opportunities (EEO) globally, eliminating discrimination, and promoting good relations among employees, regardless of age, disability, ethnicity or origin, sex, gender assignment, gender identity, religion or belief, sexual orientation, and marital or civil partnership status. Evalueserve is an inclusive employer and is proud of its diverse workforce. Hiring talents with exposure to Market Risk Anaytics. Strong exposure to VAR modelling The person will be required to work on one or more of the risk and compliance models for global Investment bank which are following : - Market/Credit/Traded risk models for various asset classes (VaR models, stressed VaR Models, Asset Pricing Models, FRTB Models, Margining Models) - Credit Methodology models for wholesale, financial institutions (PD/LGD/EAD models, IRFS9, CECL, and counterparty credit risk models) - Stress testing models as under CCAR (Balance Sheet forecasting, PPNR, loss forecasting, Scenario enrichment modeling etc.) - Operational risk models including AML Important responsibilities in this role will include: - Performing various initial and /or ongoing model validation tasks independently or in collaboration with senior quants in New York and London - Create approach note and testing plan for validation of the assigned model; Decide upon appropriate methodology for benchmarking and challenger models - Conduct qualitative review of the model; examine documentation for detailed description of the theory, references to the base model, product description, mathematical and technical parameters - Develop and code challenger models for benchmarking and for validation of high risk models - Review model implementation into the production code; Perform additional testing - Perform direct and indirect validation of calibration in the models - Conduct model risk analysis, stress testing and other tests under different scenarios - Draft a validation report with executive summary with approval/disapproval, restrictions on model usage; summary of findings and remediation plans Skill Set : - Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development - Strong knowledge in one or more of the following programming languages: R / SAS, Matlab, Python, SQL programming, C++ ; Experience with QuantLib and other open source quant libraries is a plus - Ability to articulate ideas and make recommendations. - Proficiency in developing and giving presentations. - Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels - Strong analytical and interpersonal skills Education and Experience : A Master's or bachelor's degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Mathematics, Physics or Engineering) Compensation - To be decided on a case-by-case basis, pegged with the best in the industry

Mumbai

Evalueserve - Market Risk Role - VaR Model 

Evalueserve - Market Risk Role - VaR Model  ,Job Description for Evalueserve - Market Risk Role - VaR Model  in Evalueserve in  Mumbai for (5-15) years of experience. Apply Now!

Job Description for Evalueserve - Market Risk Role - VaR Model  in Evalueserve in  Mumbai for (5-15) years of experience. Apply Now!