Model Validation Role - Market Risk - Bank

Candidate shall have more than 7 years of relevant experience in Market Risk Management in Banks/FI. Candidate shall possess comprehensive understanding of Market Risk Management, Treasury products, Valuation methodology, Sensitivities and VaR etc. Candidate should have worked in Model Validation role at least for 3 years.

Responsibility Areas :

Responsible for Model Validation, Market Risk functions:

- Enhance existing Model Risk framework for Market Risk related models of the Bank

- Performing independent validation of Market Risk models.

- Independent validation of the Valuation of Treasury products (Forex, Fixed Income, Derivatives, Equity and others)

- Validation of the Risk parameters (Delta, Gamma, Vega, PV01, PFE etc.) of Treasury products (Forex, Fixed Income, Derivatives, Equity and others)

- Validation of various Models being used for Market risk management eg. VaR, PFE, Behaviour Analysis of various ALM products

- Assessing the adequacy for implemented models & Review of Risk system functionalities.

- Preparation of detailed Model Validation Document

- Providing a comprehensive review of risk models to approving Authorities

- Building up of Excel/R/Python based models for process with complex business logic and/or large data

- Understanding the ever changing market dynamics and its impact on various products and its risk management.

- Ensure updation in risk and pricing models to be in line with best market practices

- Training junior staff on developing, implementing and monitoring models

SKILL SET :

Educational / Professional Qualification / Technical Knowledge

Solution Architect [DGM-GM Level] with a TOP Brand in India [TOGAF / IAF / EUP certification is Required]- Strong understanding of Treasury products, Pricing and Risk Management.

- MBA(Finance) from tier 1, tier 2 institute, CFA, Chartered Accountant with strong aptitude for Quant

- Risk Management qualification like FRM / PRM will have added advantage

- Expertise in Murex will be an added advantage

- Able to work and modelling in R, VBA, Python, etc. will have an added advantage

- Experience of more than 3 years in Model validation

- Strong analytical and problem solving skills

- Proficient with MS Excel and Excel Macro

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality.