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Job Location | Delhi |
Education | Not Mentioned |
Salary | Not Disclosed |
Industry | NBFC ( Non Banking Financial Services ) |
Functional Area | Operations Management / Process Analysis |
EmploymentType | Full-time |
Roles and Responsibilities We are recruiting for a Exec / Senior / Asst. Manager / Manager in the Statistical & quantitative Modeling team. Your responsibilities will include: Work with our clients in the US , UK , Australian and South - East Asian market to assist them in credit and market risk engagements pertaining to model development / validation , credit policy review , credit origination process review. Key engagement responsibilities would be : Model development of one or more of CCAR / DFAST / IFRS 9 modelling and PPNR including Stress Testing , Balance Sheet forecasting , Deposit Modelling / PD / EAD / LGD , Loss Forecasting , Underwriting scorecard , Credit Scoring and other behavioural models) Advanced statistical and quantitative modelling skills (linear regression , logistic regression , ARIMA modelling , Markov Chain , Merton Model , CHAID and other data mining / predictive modelling skills) Model validation including conceptual soundness , critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit - for - purpose , designing to evaluate the model s predictive power and its robustness uncertainty through the development and use of alternative benchmark models. Experience in validation of pricing models across various classes viz. , Equities , Credit , IR , FX , Commodities etc. , Excellence in probability theory , stochastic processes , partial differential equations , numerical analysis , option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc. , Strong understanding of regulations and guidelines like IAS 39 , IFRS9 , SR 11 - 7 or other equivalent guidelines for model risk management. Programming skills: SAS , R , Python. Expertise is one of these programming language is a must . Programming ability in C++ is preferred. Responsible for key deliverables and engage with Partners / Directors to understand the project scope , business requirements and work with onshore and offshore teams to do successful delivery Essential skills required Education / professional qualifications Advanced degree in Math , Statistics , Economics or any other Analytical disciplines from IIT / ISI OR any other tier1 institute or B.tech. + MBA in finance. Professional Certification such as FRM , CFA preferred Prior Experience Prior experience of working in the Risk Management / Analytics division in large banks and / or tier 1 consulting organizations like Big 4 or captives of top tier banks Country India Location. Delhi Service Line Deal Advisory Job Level Senior Associate / Senior Team member Contract Type Permanent Full Time / Part Time Full Time About us Region EMA Sub Region EMA (no sub - region),
Keyskills :
alance sheetmarket riskmodel validationrisk managementstress testingdata mining