int(8633)
Mumbai, India

Senior Model Development Lead – Investment Bank

Our client a leading Global Investment Banks who is keen to hire a Model risk developer/Validator in Mumbai. Hence, actively looking to hire candidates with at least 6+ years of hands-on Counterparty credit risk modelling or Validation experience within an investment bank or associated consulting firms.

We’re looking for someone who is eager to perform independent development/validation of models. This is an excellent platform for personal and professional development within a highly committed and collaborative team in an international and fast-paced environment.

Please contact Adil Sharieff or email your cv directly in word format with job reference number JO0000008176 to riskandquants-in@theedgepartnership.com.

Please note that due to the high number of applications only shortlisted candidates will be contacted. If you do not hear from us in the next 5 business days, we regret to inform you that your application for this position was unsuccessful.

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Key responsibilities

  • Developing, maintaining, and improving IMM models used in counterparty credit risk.
  • IMM full simulation model development and implementation for Secured Finance Transactions (SFTs).
  • Testing the implementation of risk factor scenario generation, pricing, margining, and exposure calculation (EEPE, EEE, EE, EAD, PE).
  • Worked extensively on back testing of IMM models to identify strengths and weaknesses of the model.
  • Development of advanced back testing techniques such as exposure profile and risk factor.
  • Model monitoring and maintenance.

Role requirements

  • Qualified degree in economics, science, technology, mathematics, engineering.
  • Excellent quantitative and statistical modelling skills.
  • Proven experience of working with Python, SQL, and VBA.
  • Hands on Experience of stochastic calculus and Monte Carlo simulation.
  • Knowledge of fixed income including pricing various traded bonds ranging from vanilla to exotic.
  • FRM/ CFA certification would be an advantage.