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Reena K

Consultant at Persolkelly

Last Login: 28 June 2024

Job Views:  
363
Applications:  75
Recruiter Actions:  1

Job Code

1242591

Market Risk Model Validation Role - BFS

2 - 8 Years.Gurgaon/Gurugram/Mumbai/Bangalore
Posted 1 year ago
Posted 1 year ago

- Proven experience in market risk, risk modeling or model validation. Assess the model's conceptual soundness and methodology. Models - Value at Risk, Counterparty Risk Exposure models, Pricing of plain vanilla and exotic derivatives, FVA, PVA, IPV, Pricing of Credit derivatives (CVA, DVA calculation), FRTB (SA & IMA), Stress Test Models - CCAR etc. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions.

- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.

- Assess the model's conceptual soundness and methodology.

- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as qualitative or expert adjustments etc.

- Review outcome, impact, or benchmark analysis, or develop/validate a benchmark model (as applicable)

- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations.

- Programming skills like: SAS, R, Python. Expertise in at least one of these programming languages would be an added advantage. Fair understanding of SQL.

- Proficient in Microsoft Word, Excel, Visio, and PowerPoint and Latex.

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Posted By

user_img

Reena K

Consultant at Persolkelly

Last Login: 28 June 2024

Job Views:  
363
Applications:  75
Recruiter Actions:  1

Job Code

1242591

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