Manager - Market Risk
On-siteMumbai, Maharashtra, India
Job Summary
Develop and validate market risk models including FRTB, VaR, SVaR, and pricing models for plain vanilla and exotic derivatives. Document all work performed in a clear, concise, and re-performable manner, producing high-quality validation reports that note limitations, weaknesses, and assumptions. Assess model risk, perform robustness analysis, and evaluate model limitations against regulatory guidelines such as SR 11-7. Provide subject matter expertise on models and model risk to teams globally while tracking and closing model-related findings. Requires 3+ years of experience in model development or validation with proficiency in Python, SQL, and Microsoft Office tools.
Required Qualifications
- Experience in model development or validation for Market risk models (FRTB, VaR, SVaR, RNIV, P2A) or Pricing models
- Proven experience in Market risk, FRTB risk modeling or model validation
- Models – Value at Risk, Counterparty Risk Exposure models, FRTB (IMA), Pricing of plain vanilla and exotic derivatives, XVA, Stress Test Models, etc
- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management
- Strong knowledge of regulatory expectations, model risk governance, and financial risk management practices
- Programming skills like: Python and fair understanding of SQL
- Proficient in Microsoft Word, Excel, and PowerPoint and Latex
- 3+ yrs of experience
Hiring someone like this?
Get your role in front of qualified candidates on Sorce.