Responsibilities:

Model development/validation/audit/review primarily for market risk and PPNR models including but not limited to Value at Risk models, and/or pricing and valuation models primarily for CCAR/DFAST reporting. Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing
Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models.
Proactively work with client and onshore teams for key deliverables in line with Project requirement
Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

Job Requirements

Mandatory Skills

Qualifications:
- Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or
- Any Graduate + MBA in finance with relevant experience/exposure.
Additional certifications: Professional Certification such as FRM, CFA preferred
Total Experience: 5+ years of experience in managing model validation/model risk engagements for large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred

Preferred Skills

Experience in valuation of derivatives or structured products, development or validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc., Additional experience in validating PPNR and time series models would be a plus
Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL
Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc., Programming skills: SAS, R, Python. Expertise is one of these programming languages is a must. Programming ability in C++ would be a plus
Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values
Excellent written and verbal communication skills
Team player
Self-driven
Ability to work independently and motivate team members

Assistant Manager