Manager

2 days ago


Gurugram Gurugram, India Genpact Full time

Job Description

Inviting applications for the role of Assistant Manager/Manager, Model Validation

In this role, you will be responsible for model development, implementation & documentation - for a BFS client in North America.

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. Your activities will include, but will not be limited to the following:

- Independent model validation, especially comprehensive model validation within 2nd 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.

- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques

- Prepare model validation report summarizing findings and provide recommendations

Qualifications we seek in you

Minimum Qualifications / Skills

- Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1

- Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1

- Relevant experience in Banking or Capital Markets, with experience in market risk model validation.

- 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 any treasury system such as Murex, Calypso, etc. or market data providers such as Bloomberg and Reuters.

- Knowledge of VaR, Expected Shortfall or Counterparty Credit Risk modelling.

- Knowledge of product valuation in any of Fixed Income or Derivatives

- Knowledge of stochastic models such as Black Scholes, Hull & White, SABR etc) will be added advantage.

- Working knowledge of Excel, Python/R in this field.

- Good communication/presentation skills - written & verbal

- Self-driven, proactive, can-do attitude. Ability to work under ambiguity and with minimal supervision

Preferred Qualifications/ Skills

- Strong networking, negotiation and influencing skills

- Some understanding and experience in at least one of the regulatory risk modeling/validation guidelines - SR 11-7, FRTB etc

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