Model Validation Role - Market Risk - Bank

Model Validation Role [Market Risk] role with a Bank.

Client is a well known bank and rated among its peer group.

Role details :

Candidates must be well versed with Market Risk model creation/validation, Treasury products valuation methodology, Sensitivities, VaR etc. Should be preferably working with Banks or Consulting Firms.

Role specs :

- Review and enhancement of VaR , Stress VaR, Stress testing frameworks.

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

- 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.

- Defining stress scenarios and stress testing methodologies

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

- 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.

Candidate specs :

- Must have worked in Market Risk role including Model Validation.

- Preferred from Commercial Banks / Consulting Firms.

- CA/ MBA / Stats or Maths major from well known institutes.