VP - Market Risk & VaR Model Testing - IIT/IIM

About Our Client

Our client is a leading financial services organization across the globe. With 60+ offices in more than 20 countries they are a world leader in providing risk based solution to leading organizations across the globe. As their business in India is expanding, and are looking for a professional senor professional to strengthen their Market Risk practice.

Job Description

Reporting into the Head of Risk, you shall be responsible for setting up & building a VaR Model testing team from scratch. The objective of the team would be to review various VaR models and ensure that the models are compliant with the FSA’s BIPRU standards.

Your key responsibilities shall include:

- Plan and perform annual VaR model review and PLAF testing across businesses and asset classes

- Work closely with risk managers of relevant asset classes, to be aware of latest changes in risk mappings, representations, position compositions

- Establish a testing framework which is in line with the group policy for Model Testing

- Ensure that the Model reviews are documented, robust and compliant with the expectations of internal and external auditors/regulators

- Keep abreast of the regulatory changes in methodology (BIPRU, CRD3, CRD4) with regards to model standards

- Establish and deploy robust risk and control frameworks which meet the strategic needs of the group, including communication, training and awareness

The Successful Applicant

- You are a Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 9 years of experience in the Market Risk domain

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- Excellent Understanding of VAR and VAR methodologies along with knowledge of regulatory requirements (FSA, EU/CRD and Basel/BIS)

- Strong exposure to diverse asset classes with understanding of market conditions (volatility, extreme price moves) is essential

What's on Offer

Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.