Job Description

Our client, a leading Global Investment Banks who is keen to hire a Model risk developer / Validator in Mumbai. Hence, actively looking to hire candidates with at least 6+ years of hands-on risk modelling or Validation (credit/market/Counterparty) within an investment bank or associated consulting firms. We\'re looking for someone who is eager to perform independent development. This is an excellent platform for personal and professional development within a highly committed and collaborative team in an international and fast-paced environment. Some of the key responsibilities will include: Work on projects related to Economic/Regulatory capital models (e.g., FRTB). Development of model to capture credit and market risk. Development of IRC (Incremental Risk Charge), CRM (Comprehensive Risk measure) and tail risk models. Actively participate in validation of the models/model-changes during implementation phase. Interacting with stakeholders: model validators and users, senior management, internal and external audit, and regulators, as a representative of the bank\'s independent control function for model risk. Lead a team of 2 analyst. To be eligible for this role you will require: Qualified degree in economics, science, technology, mathematics, engineering. Excellent quantitative and statistical modelling skills. Proven experience of working with R/Python/SAS. Experience working on IRC/DRC and ERC. Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra. Experience in banking regulatory capital, CCAR, ICAAP, RWA, Basel II/III, stress testing would be advantageous. FRM/ CFA certification would be an advantage.

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