Market Risk JD: Person would be responsible for developing/validating/auditing marketrisk models and assisting clients on related issues.
- Desired candidate must have relevant experience in in statistical modeling, quantitative research, stochastic calculus, market risk management, or related field
- Independently build/validate and manage quantitative market risk analytical models
- Strong experience/knowledge in at least some of the following modeling areas (in quant space)
- Pricing and valuation models - Derivatives (across one or more asset classes)
- Market Risk Scenarios and Stress Testing
- Interest Rate Curve Generation
- Worked on Market Risk Models like to develop/review calculation of VaR (Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool (SAS/R/ Python)
- Strong experience/knowledge in at least some of the following business areas
- Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.
- Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.
- Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.
- Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.
- Keep up to date with industry and academic model research.
- Assist clients to design and implement strategic and functional changes across riskmanagement, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.
- Programming and Algorithms: R, Python, SaS, VBA etc.
- Experience with various tools like Murex,Fincad, Reuters, QRM, Bloomberg, Algoetc. is a plus.
- Non-functional skills
- Understand market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the client's business
- Excellent oral and written communication skills
- Solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data
- Process orientation with strong technical skills and attention to detail
- Demonstrate deep technical capabilities and industry knowledge of financial product
- Willingness to travel to meet client needs
- Preferred background: Desired candidate must have degree in a Finance, Economics, Statistics, Engineering + MBA; advanced degree a plus; with experience in Counterparty and Market Risk Analytics & Model development. CQF, FRM, CFA, CPA certification a plus
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