Market Risk Mv
2 weeks ago
Market Risk MV
Model Validation, Model Development (Market Risk): 4-8 years of experience.
- Proven experience in market risk, risk modeling or model validation. Assess the model's conceptual soundness and methodology. Models - Value at Risk, Counterparty Risk Exposure models, Pricing of plain vanilla and exotic derivatives, FVA, PVA, IPV, Pricing of Credit derivatives (CVA, DVA calculation), FRTB (SA & IMA), Stress Test Models - CCAR etc. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions.
- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.
- Assess the model’s conceptual soundness and methodology.
- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as qualitative or expert adjustments etc.
- Review outcome, impact, or benchmark analysis, or develop/ validate a benchmark model (as applicable)
- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations.
- Programming skills like: SAS, R, Python. Expertise in at least one of these programming languages would be an added advantage. Fair understanding of SQL.
- Proficient in Microsoft Word, Excel, Visio, and PowerPoint and Latex.
577425
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