Market Risk Model Validation Role- Bangalore, Gurgaon, Kolkata

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 brands—and we have fun doing it. Now, we’re 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 team’s 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 model’s use, methodology, assumptions, limitations and on-going monitoring and control, model’s 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: master’s and bachelor’s degrees in quantitative disciplines, like, mathematics, statistics, economics, computer science and engineering, etc.; MBAs must have bachelor’s 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, Basel’s 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.