Market & Credit Risk Model Development

About Our Client

Our client is a leading insurance/reinsurance organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, they are looking to setup a new capital modelling team from scratch and are looking for quant professionals across levels.

Job Description

Reporting into the SVP, your key responsibilities would include:

- Developing and managing market risk & asset return models used to assess economic and statutory capital requirements

- Qualitative and quantitative validation of internal models under Basel II norms

- Undertake stress testing and back testing of market risk models

- Managing the quarterly evaluation of market risk and asset credit risk

- Assist in delivering quality data and develop standard modeling tools and individual risk modules

- Develop detailed documentation for risk models and aggregation

- Undertake counter party credit risk and Credit Value Adjustment (CVA)

- Provide support for group level solvency II initiative

The Successful Applicant

- You are a Masters from a Tier 1 institution with a minimum 4 years of relevant experience in the risk model development/quant modeling domain

- You should be very strong in mathematics with excellent understanding of stochastic calculus, binomial / trinomial tree building techniques, Monte Carlo simulation, etc.

- Hands on experience in VaR computation and thorough understanding of Incremental Risk Charge (IRC)

- You must have strong programming skills (C++/Java, Excel VBA, MATLAB, etc).

- Certifications such as CFA/CQF are preferred

What's On Offer

Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.