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Senior Manager

4.00 to 9.00 Years   Bangalore   21 Feb, 2023
Genpact India Pvt Ltd
Job LocationBangalore
EducationNot Mentioned
SalaryNot Disclosed
IndustryIT - Software
Functional AreaRisk / Underwriting
EmploymentTypeFull-time

Job Description

    Senior Manager, Market Risk Model ValidationYou will be working with the independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models across business functions, and development of challenger models as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. You will be expected to work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models. Your activities will include, but will not be limited to the following:
    • Independent model validation, especially comprehensive model validation within 2 nd line of defense, using SR 11-7 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 may be required
    • Prepare model validation report summarizing findings and provide recommendations
    Qualifications we seek in you Minimum qualifications
    • Educational qualification: master and bachelor s degrees in quantitative disciplines, like, mathematics, statistics, economics, computer science and engineering, etc.; MBAs must have bachelor s degree in 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 (1 st 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, etc.
    • Experience in FRTB projects will be added advantage
    • Excellent knowledge of various statistical 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
    ,

Keyskills :
credit riskmarket riskstress testingregulatory riskmodel validationclient management

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