int(8909)
Chennai / Pune, 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 risk modelling or Validation (market/Counterparty) within an investment bank or associated consulting firms.

We’re looking for someone who is eager to perform independent development. 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 Apoorva Sharma or email your cv directly in word format with job reference number JO0000008366 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

  • Development of a model to capture market risk.
  • Development of VAR models, IRC (Incremental Risk Charge) and tail risk models.
  • Actively participate in validation of the models/model changes during the implementation phase.
  • Interacting with stakeholders: model validators and users, senior management, internal and external audit, and regulators, as a representative of the bank’s independent control function for model risk.

Role requirements

  • Qualified degree in economics, science, technology, mathematics, engineering.
  • Excellent quantitative and statistical modelling skills.
  • Proven experience of working with R/Python/SAS.
  • Experience in developing or Validating VAR models.
  • Good understanding of mathematical concepts like probability, statistics, calculus, and linear algebra.
  • Must have worked on stochastic calculus/ Monte Carlo simulation.
  • FRM/ CFA certification would be an advantage.