Conformance and Asset Manager - Market Risk

About the Role

This position involves working within the Market Risk function of a leading professional services firm in India. The role centers on assessing and validating market risk models including Value at Risk, Expected Shortfall, pricing models for various derivatives, and regulatory stress testing frameworks such as CCAR and FRTB. The professional will evaluate model methodologies, assumptions, and calibrations to ensure robustness and compliance with regulatory standards like Basel and SR11-7.

Key Responsibilities

• Conduct thorough analyses of market risk models and their underlying conceptual frameworks.
• Develop and implement tests to evaluate model assumptions and methodologies.
• Engage with a broad range of financial instruments, including equity, bond, mutual funds, credit derivatives, and exotic derivatives.
• Validate pricing models that rely on simulations or path-dependent approaches and assess their market calibration.
• Produce comprehensive validation reports highlighting model weaknesses, limitations, and assumptions.
• Stay informed about regulatory guidelines and ensure models meet associated compliance requirements.
• Perform independent robustness testing of models and document processes, observations, and recommendations with clarity.

Required Qualifications and Skills

• Bachelor's or Master's degree in Mathematics, Statistics, Economics, Finance, Physics, or closely related disciplines.
• Relevant certifications such as CFA, FRM, CQF are advantageous.
• Demonstrated experience in model validation, quantitative analysis, or related roles within the financial services sector.
• Proficiency with statistical and analytical tools including Python, R, SAS.
• Strong analytical and problem-solving capabilities with attention to detail.

Additional Information

The employer values diversity and is committed to equal opportunity regardless of personal attributes including color, caste, religion, age, gender, sexual orientation, disability, or other protected statuses. Providing demographic information during the application process is voluntary and will not affect the candidate's chances. The role is based onsite in Mumbai, India.