Market Risk Modeling (5 - 8 YOE) || Bengaluru

Role: Market Risk Modeling (Model Development / Validation)

Location: Bengaluru

Role Responsibilities:

• Identify and evaluate the conceptual soundness of Pricing models (stochastic fixed income and equity models) and market regulatory models (FRTB, VAR, IRC, CRM) along with assumptions and model limitations.
• Assess model performance through independently performing calibration test, degeneracy test in case of exotic payoffs, benchmarking sensitivity tests covering stress scenarios.
• Review the quality of input data by checking arbitrage-free conditions and by liaising with stakeholders such as: IPV (Independent Price Verification) teams and Data control teams to ensure data adequacy.
• Evaluate the model usage by verifying the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
• Formulate recommendations, which contributes to the improvement of the model as per SR-11-7 standards

Required Skills:

• Having 5+ years of experience in Pricing and Regulatory market model development or Model Validation
• Having strong mathematical skills, including: Stochastic calculus, Numerical methods (PED-Partial Differential Equations and Monte Carlo methods).
• Knowledge of OTC derivative products, including: Exotics, Hybrids across multiple asset classes (Equity, Interest Rates (IR), Foreign Exchange (FX).
• Knowledge specific to market regulations, such as: FRTB, CFTC are an added advantage

If you wish to explore this opportunity, kindly write to me at "shalu@credencehrservices.com"