Role Overview
We are looking for skilled professionals with experience in Market Risk and FRTB to join our team. The role focuses on model development and validation across a range of market risk and pricing models, ensuring compliance with global regulatory standards and strong model risk governance practices.
Key Responsibilities
- Perform model development and validation for market risk and pricing models including FRTB (IMA), VaR, SVaR, RNIV, P2A, and stress testing models
- Validate derivative pricing models (plain vanilla and exotic), XVA, and counterparty exposure models
- Produce high-quality model validation reports, highlighting assumptions, limitations, and model weaknesses
- Conduct benchmarking, sensitivity analysis, and model robustness assessments
- Identify, track, and close model-related findings in line with governance standards
- Provide subject matter expertise on model risk to global stakeholders
- Ensure compliance with regulatory guidelines such as SR 11-7 and model risk management frameworks
- Collaborate with cross-functional teams on model governance, validation, and risk assessment initiatives
Required Skills & Experience
- 3+ years of experience in Market Risk, FRTB, or Model Validation/Development
- Strong knowledge of Basel regulations and Market Risk frameworks
- Hands-on experience with models: VaR, FRTB, Pricing Models, XVA, Stress Testing
- Proficiency in Python and working knowledge of SQL
- Strong analytical and problem-solving skills
- Experience in documentation and regulatory reporting standards
- Proficiency in MS Excel, PowerPoint, Word, and preferably LaTeX
Preferred Background
- Experience working with global banks or consulting firms
- Exposure to model risk governance and regulatory expectations
Why Join Us
- Opportunity to work on cutting-edge regulatory frameworks like FRTB
- Exposure to global clients and complex financial models
- Strong career growth in risk consulting and quantitative modeling
