Hire for Manager - Model Validation

Job Description

*With a startup spirit and 90,000+ curious and courageous minds, we have the expertise to go deep with the world s biggest brands and we have fun doing it. We dream in digital, dare in reality, and reinvent the ways companies work to make an impact far bigger than just our bottom line. We re harnessing the power of technology and humanity to create meaningful transformation that moves us forward in our pursuit of a world that works better for people. Now, we re calling upon the thinkers and doers, those with a natural curiosity and a hunger to keep learning, keep growing. People who thrive on fearlessly experimenting, seizing opportunities, and pushing boundaries to turn our vision into reality. And as you help us create a better world, we will help you build your own intellectual firepower. Welcome to the relentless pursuit of better.We are inviting applications for the role of Manager, Model Validation In this role, you will be responsible for independent model validation Responsibilities You 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 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:
• End-to-end independent validation of derivatives pricing models or market risk models (like VaR and SVaR)
• Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use
• Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines
• Identification tests and evaluation of test result to challenge model methodology, assumptions, limitations, effectiveness, etc.
• Assessment of the model monitoring and implementation process
• Prepare model validation report summarizing findings and provide recommendations
Qualifications we seek in youMinimum qualifications
• Post-graduate degree / diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes.
• Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering.
• Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering and FRM / CQF certified.
• Knowledge of various statistical techniques and proven skill in mathematical modelling (Black Scholes, Hull & White, Vasicek, SABR Etc.)
• Good understanding and experience in at least one of the regulatory risk modeling / validation guidelines SR 11-7, FRTB, Stress Testing, Basel III IMA, CAR: Chapter 9,etc.
• Exposure to (as an user or a data consumer) any treasury system such as Murex, Calypso, FIS Adaptiv, etc. or market data providers such as Bloomberg and Reuters.
• Working knowledge of Excel, Python/R in this field
• Strong networking, negotiation and influencing skills
• Good 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 is a plus
Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation.,

Keyskills :
basel iiimarket riskmarket datarisk modelsrisk modelingstress testingcustomer focusregulatory riskmodel validationmodel developmentcommercial models