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Consultant Market Risk Model Development Validation

3.00 to 8.00 Years   Bangalore   07 Apr, 2020
Asterion
Job LocationBangalore
EducationNot Mentioned
SalaryNot Disclosed
IndustryIT - Software
Functional AreaGeneral / Other Software
EmploymentTypeFull-time

Job Description

These roles are for a Big 4 Company, Based out of Bangalore:- *Please read the JD carefully, before applying

  • Desired candidate must have relevant experience in in statistical modeling, quantitative research, stochastic calculus, market riskmanagement, or related field
  • Independently build/validate and manage quantitative market risk analytical models
  • Strong experience/knowledge in at least some of the following modeling areas (in quant space)
  • o Pricing and valuation models- Derivatives (across one or more asset classes)
  • o Market Risk Scenarios and Stress Testing
  • o Interest Rate Curve Generation
  • o Worked on MarketRiskModels like to develop/review calculation ofVaR(Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool (SAS/R/ Python)
  • Strong experience/knowledge in at least some of the following business areas
  • o Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.
  • o Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.
  • o Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.
  • o Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.
  • Keep up to date with industry and academic model research.
Assist clients to design and implement strategic and functional changes acrossrisk management, treasury, front office, middle office, and back office activities with a focus onriskand valuation processes, regulatory compliance, analytics, strategy, and organizational structure.
  • Programming and Algorithms: R, Python, Sas, VBA etc.
  • Experience with various tools like Murex, Fincad, Reuters, QRM, Bloomberg, Algo etc. is a plus.
  • Non-functional skills
  • o Understandmarkettrends and demands in the financial services sector and issues faced by clients by stayingabreast of current business and industry trends relevant to the clients business
  • o Excellent oral and written communication skills
  • o Solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data
  • o Process orientation with strong technical skills and attention to detail
  • o Demonstrate deep technical capabilities and industry knowledge of financial product
  • o Willingness to travel to meet client needs
Required Candidate profile
  • Desired candidate must have degree in a Finance, Economics, Statistics, Engineering + MBA; advanced degree a plus; with experience in Counterparty and MarketRiskAnalytics & Model development. CQF, FRM, CFA, CPA certification a plus
,

Keyskills :
montecarlosimulation cashflow backoffice marketrisk frontoffice middleoffice interestrates problemsolving technicalskills commercialmodels financialservices creditderivatives processorientation stochasticcalculus knowledgediscovery statisti

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