Senior Role - Market Risk Model Validation - Bank (8-15 yrs)

Hiring for a Leading Private Sector Bank

Responsibilities :-

- Candidates shall possess comprehensive understanding of Market Risk model Development/Validation, Understanding of treasury products valuation methodologies / Sensitivities/ VaR, Statistical tools, behavioral analysis, etc.

- Candidates should also possess working knowledge of latest prevailing regulatory guidelines.

Responsibility Areas:

- Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through Excel sheets/Excel Macros and Python, etc.

- In depth understanding of advanced structured products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its risk and valuation.

- Ability to price Vanilla as well as structured products through excel spreadsheets or software such as Python, R studio, etc.

- Ability to create new models from white papers.

- Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation.

- Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement.

- Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data.

- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.

- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

- Defining stress scenarios and stress testing methodologies.

- Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc.

- P&L attribution analysis based on first and second order sensitivities and underlying market movements.

- Shall have a granular understanding of latest regulatory developments in the market risk domain including SIMM, NSFR and IND-AS.

- Supporting creation of models, maintenance and execution of risk model validation processes.

- Providing input into ongoing development and refinement of risk model monitoring, validation, reporting frameworks and methodologies.

- Oversight of ongoing risk model monitoring and reporting.

- Ongoing management and maintenance of the Risk Models Inventory.

- Ability to create new models based on organizational requirements.

- Periodic review and enhancement in the risk models.

- Periodic back-testing of behavioral analysis undertaken.

- Putting up the results of the model validation to higher authorities/Committees.

- Implementation of Interest Rate Risk in Banking Book models.

- Documentation of Models for Market Risk.

Pratik Kankaria | +919329149022