Market Risk

4 weeks ago


Mumbai, India Recex.co Full time

1. Market risk

  • Model lifecycle support (data preparation, development, validation, implementation in production systems, monitoring, governance)

2. Counterparty credit risk

  • Model lifecycle support
  • Models for underlying risk factors, calculation of future potential exposures, aggregation across products and netting sets

3. Derivative pricing

  • Front-office pricing support
  • Model development
  • Independent validation

4. Stress testing

  • Stress testing of the trading book, for regulatory or internal purposes
  • This includes STDF, EBA and ICAAP

5. Model risk and governance

  • Model audit
  • Validation reviews
  • Model risk quantification

6. Technology

  • Support with technology aspects for all of the above



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