VP - Quantitative Risk Management - Market Risk Model Validation - Investment Banking

Currently hiring for a client based in Mumbai

Co Name: Leading Investment Banking Mnc.

Designation: VP

Role:

Key Responsibilities:

The Market Risk Analytics team is responsible for developing and maintaining market risk models used for both risk management and regulatory capital purpose. These models currently include Value-at-Risk (VaR), Stressed VaR (SVaR), Incremental Risk Charge (IRC) for trading book migration and default risk, and Comprehensive Risk Measure (CRM) for credit correlation trading.

The successful candidate will be responsible for:

- Develop methodologies, algorithms and diagnostic tools for testing model robustness, stability and performance.

- Perform reliability analysis and quality control of modeling data and model results.

- Develop and maintain technical documentation for default likelihood and rating migration methodologies and applications; including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.