VP - Quant Risk Methodology - Investment Banking - IIT/ISI/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 to help achieve their expansion plans.

Job Description

Reporting into the Head of Risk, you would be part of the Risk Methodology team and would be responsible for model development of internal risk and capital models across market, credit and operational risk.

Some of your key responsibilities shall include:

- Lead a team of quant professionals and provide industry-leading models for risk measurement and capital demand estimation.

- Re-calibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk (VaR) models

- Re-calibration of model parameters which are used in the internal ratings based models for credit risk

- Re-calibration of the period of significant financial stress for calculating SVaR

- Re-calibration of scaling factors for estimation of materiality of risks-not in the VaR model

- Theoretical back-testing for the performance measurement of internal models, in particular Value-at-Risk models

- Regular monitoring of the credit risk score quality for credit applications

- Data analysis and preparation for credit risk rating model development and parameter calibrations

- Analysis support for Risk Methodology teams in Europe, e.g. explaining outcomes of internal models for businesses

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

- Identify technically robust approaches to assessing the overall VaR modelling approach

- Organise the execution of periodic model reviews, liaising with relevant business unit risk managers

The Successful Applicant

- You are a PHD/Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 10 years of experience in the Market Risk domain

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

- Extensive experience in financial modeling and/or model validation

- Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable

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

- Proficient in Excel/VBA, JAVA, Python, MATLAB, R, etc

- Ability to demonstrate an understanding of capital modeling, financial and derivative products and mathematics

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.