Market Risk Model Validation Role - Bank

Opening with a Private Bank- Market Risk Model Validation

- Responsible for Market Risk Model creation and Validation

- Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through excel sheets

- Ability to price Vanilla as well as structured products through excel spreadsheets or software's such as Python, R studio, etc.

- Ability to create new models from white papers.

- End to end model creation and validation for Liquidity risk models.

- Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation.

- Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement.

- Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data.

- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.

- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

- Defining stress scenarios and stress testing methodologies

- Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc.

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

- In depth understanding of advanced structured products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its risk and valuation.

- Shall have granular understating of latest regulatory developments in market risk and liquidity risk domain including FRTB, SIMM, NSFR and IND-AS.