Market Risk Model Validation Role- Bangalore,
- Headstrong
- 7 - 12 years
- Kolkata
- 1 month ago
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Job Description
Market Risk and Counterparty Credit Risk Model Validation Lead
Function: BCM Data & Advanced Analytics
With a startup spirit and 90,000+ curious and courageous minds, we have the expertise to go deep with the worlds biggest brandsand we have fun doing it. Now, were calling all you rule-breakers and risk-takers who see the world differently and are bold enough to reinvent it. Come, transform with us.
Are you the one we are looking for?
We are inviting applications for the role of Senior Manager in Market Risk and Counterparty Credit Risk Model Validation
In this role, you will be responsible for model testing, independent validation & documentation - for one or more Banking and Capital Markets (BCM) clients in the North America or other markets.
Responsibilities
You will be leading a team of model validators providing independent model validation services for a large banking client and will involve end-to-end validation of risk and regulatory models in market risk, market risk stress testing and counterparty credit risk. It will also involve guiding / coaching / mentoring the team members, review / QA of teams work, work allocation and monitoring of validation workflows, performance management of team, people management and require close interaction with client stakeholder groups including model development, model owners/lines of business, auditors and client model validators. It will be required to maintain relationship with client and addressing their concerns (Voice of Customer) towards providing best-possible validation services to the client. While it is not the primary requirement, it may be needed to perform hands-on model validation work from time to time. The activities will include, but will not be limited to the following:
- Independent model validation, especially comprehensive model validation within 2nd line of defense, using SR 11-7 or E23 or similar guidelines.
- Exhaustive model validation will include conceptual assessment of models use, methodology, assumptions, limitations and on-going monitoring and control, models outcome analysis.
- Development of benchmark models is usually out of scope.
- Prepare model validation report summarizing findings and provide recommendations.
Qualifications we seek in you
Minimum qualifications
- Educational qualification: masters and bachelors degrees in quantitative disciplines, like, mathematics, statistics, economics, computer science and engineering, etc.; MBAs must have bachelors degree in one of the above-mentioned disciplines.
- Relevant experience:
- Relevant experience in independent model validation of market risk models (e.g., VaR, SVaR), market risk stress testing models, counterparty credit risk models (e.g., PFE, CVA), derivatives valuation models (PDE methods, simulation methods, etc.), interest rate term structure / volatility models
- Effective challenge to model development (1st line), design and interpretation of model effectiveness tests, model validation report writing, etc.
- Understanding of and experience in regulatory risk modeling/validation SR 11-7, Basels market risk final rules / FRTB, etc.
- Excellent knowledge of various statistical, stochastic calculus and numerical methods techniques
- Strong client management and communication/presentation skills written & verbal; self-driven, proactive, can-do attitude; ability to work under ambiguity and with minimal supervision
Preferred qualifications
- FRM or CQF certification is a plus
Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube.
Job Classification
Industry: Analytics / KPO / ResearchFunctional Area / Department: Data Science & Analytics,
Role Category: Data Science & Analytics - Other
Role: Data Science & Analytics - Other
Employement Type: Full time
Contact Details:
Company: GenpactLocation(s): Kolkata
Keyskills: Counterparty Credit Risk Market Risk Model Validation Model Development Basel SAS PDCA Credit Risk IFRS Ccar Python
Headstrong
HEADSTRONG SERVICES INDIA PRIVATE LIMITED Headstrong (www.headstrong.com) is a global IT consulting firm with specialized focus in financial services. In particular, we are a world’s leading offshore outsourcing company focused in the capital markets and secu...
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