Looking For Immediate Joiner || Market Risk Quant

• Market Risk Model Development or Validation experience covering Value at Risk (VaR), IRC, RNiV, VaR backtesting, Market risk Stress testing Loss estimation etc
• Deep understanding of Fundamental Review of the Trading Book (FRTB) - Internal Models Approach (IMA) and the Standardized Approach (SA).
• Demonstrated experience in development/validation of quantitative models within the banking sector, aligning with FRTB standards, particularly in market risk modeling.
• Familiarity with Greeks and Risk Factors, risk factor modellability concepts, adeptness in calculating capital requirements under FRTB guidelines.
• Perform the back test of the distribution of simulated risk factors
• Conduct quantitative analysis of market data, including historical market data and current market trends, to identify potential risks and recommend appropriate risk mitigation strategies
• Stay up to date with industry trends, regulations, and best practices related to market risk management

Requirements:

• Must hold a masters or Ph.D. degree in Mathematics, Statistics, Financial Engineering, or a related quantitative field, ensuring a strong foundation in complex financial modeling.
• 2+ years of experience in market risk model development/validation
• Proficiency in programming languages such as Python, R and strong analytical skills for effective data interpretation and model analysis.
• Excellent verbal and written communication skills for effective articulation of complex quantitative concepts, and a collaborative approach for working in team environments with other analysts, risk managers, and IT professionals.
• Candidates with exposure to FRTB- Standardized Approach implementation or FRTB IMA - Model development experience will be preferred
• FRM/CQF/CFA certification would be a plus