Associate Model Validation (Market Risk Models)

Hi,

This is with regards to an opening with Global Financial Services Firm in Mumbai

Role - Associate Model Validation

Skills - Market Risk/Stress Testing Models

Exp - 3 to 7 years

Location - Mumbai

Required Skills:

• Good pedigree
• Derivatives Pricing Knowledge
• FRTB (IMA/SA)
• Value at Risk (VaR)
• Expected Shortfall (ES)
• Basel 2.5
• Counterparty Credit Risk models
• Initial Margin models
• Stress Testing models
• Stochastic Calculus
• Probability & Statistics
• Econometrics
• Numerical Methods
• Monte Carlo Simulation
• Finite Difference Methods

Responsibilities:

• Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)
• Internal Economic Risk Models
• Stress Testing

Validation tasks include reviewing the

• Conceptual soundness and the implementation of the model
• Model Risk Analysis
• Preparation of model review documentation
• Review of Model Performance Monitoring
• Periodic Reviews of Models

If you are interested with the above, kindly revert with your updated CV on [Confidential Information]