Market Risk Model

The role is with a leading IB in Mumbai, 5 days office, on rolls with Protiviti

Job Description Market Risk Model Development / Validation (MRM)

Role Overview

We are looking for professionals with experience in Market Risk Model Development or Validation to support model audit engagements. The role requires strong understanding of risk models, their assumptions, and regulatory expectations across First Line (Model Development) or Second Line (Model Validation) functions.

Key Responsibilities

Model Development / Validation

• Develop and/or validate market risk models such as:
• Value at Risk (VaR)
• Expected Shortfall (ES)
• Stress Testing Models
• Perform model validation activities including:
• Backtesting
• Benchmarking
• Sensitivity analysis
• Assess model assumptions, limitations, and performance