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Opportunity For Market Risk-Model validation
2 weeks ago
Genpact (NYSE: G) is a global professional services and solutions firm delivering outcomes that shape the future. Our 125,000+ people across 30+ countries are driven by our innate curiosity, entrepreneurial agility, and desire to create lasting value for clients. Powered by our purpose the relentless pursuit of a world that works better for people – we serve and transform leading enterprises, including the Fortune Global 500, with our deep business and industry knowledge, digital operations services, and expertise in data, technology, and AI.
Inviting applications for the role of Senor Manager and Team Leader, Model Validation
In this role, you will be responsible for leading a model validation function covering market risk, counterparty credit risk and derivatives valuation.
Responsibilities
You will be leading a team of varying seniority resources who are working with independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models. Your activities will include, but will not be limited to the following:
- Bringing the thought leadership to review the team's output and guide the team in effective challenge of the models they are working on.
- Occasionally, validating models
- Develop in-depth understanding of clients' products and systems. Develop awareness of existing model limitations.
- Maintaining strong relationships with clients' leaders in the market risk, counterparty credit risk and traded products
- The team work on 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, method, assumptions, limitations and on-going monitoring and control, model's outcome analysis.
- Development of benchmark models may be needed.
- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques
- Prepare model validation report summarizing findings and providing recommendations.
- Taking strategic decisions to ensure delivery objectives and client satisfaction. Coordinate with internal management and support functions to execute on the strategies.
Qualifications we seek in you
Minimum Qualifications / Skills
- Post-graduate degree / diploma in Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF. Candidates with PhD degrees will be preferred. Candidate with MBA degree needs to show strong advance mathematical knowledge / background.
- Relevant experience in Banking or Capital Markets, with experience in model validation.
- Good understanding and experience in at least one of the regulatory risk modeling / validation guidelines – SR 11-7, FRTB SA, CCR, SIMM, SA CCR, Stress Testing
- Good understanding of model / system landscapes, like, pricing / Greeks, scenario generation, risk aggregation, etc.
- Good understanding of vanilla and exotic derivatives in all asset classes, and their impact on various market risk (VaR, SVaR, FRTB – SBM, DRC and RRAO) and CCR components.
- Thorough understanding of stochastic processes and their models, stochastic volatility models, yield curve models
- Good understanding of conventions of various markets like treasury, fixed income, equities, commodities etc.
- Good understanding of market conventions of various risk factors, such as IR, EQ, FX, etc. and understanding of inflation products and their quotations.
- Exposure to any treasury system such as Murex, Calypso etc. or market data providers such as Bloomberg and Reuters.
- The ability to build stochastic Monte Carlo and PDE based models in Python.
- Effective communication/presentation skills – written & verbal.
- Self-driven, initiative-taking, "can-do" attitude. Ability to work under ambiguity and with minimal supervision.
Preferred Qualifications/ Skills
- Strong networking, negotiation and influencing skills.
- Though leadership in model validation practices.
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 respect and integrity, customer focus, and innovation. For more information, visit . Follow us on Twitter, Facebook, LinkedIn, and YouTube.
Furthermore, please do note that Genpact does not charge fees to process job applications and applicants are not required to pay to participate in our hiring process in any other way. Examples of such scams include purchasing a 'starter kit,' paying to apply, or purchasing equipment or training.
