Market Risk Management

Position TitleAnalyst / Associate / Senior Associate Experience Level3-5 Years DepartmentIORS LocationBengaluru, Gurugram, Pune Reports toDirector Job PurposeProvide comprehensive model validation and review processes in accordance with clients' model risk management policy, assessing model usage, purpose, conceptual soundness, data integrity, documentation, and the control environment. Communicate results via formal model validation reports and presentations to model owners and senior management. Prepare detailed documentation of all analyses, code developed, and findings, ensuring reproducibility and transparency. Organize and maintain supporting evidence for all remediated issues and edge case testing, facilitating future reviews, audits, and regulatory examinations. Maintain the model inventory and support the model risk governance process. Perform ad hoc statistical analysis of backtests or simulated performance information. Support risk committee presentations and reporting exercises. Support model risk management policy management, review performance monitoring, and assess model certifications. Key ResponsibilitiesProvide comprehensive model validation and review processes in accordance with clients' model risk management policy, assessing model usage, purpose, conceptual soundness, data integrity, documentation, and the control environment.Communicate results via formal model validation reports and presentations to model owners and senior management.Prepare detailed documentation of all analyses, code developed, and findings, ensuring reproducibility and transparency.Organize and maintain supporting evidence for all remediated issues and edge case testing, facilitating future reviews, audits, and regulatory examinations.Maintain the model inventory and support the model risk governance process.Perform ad hoc statistical analysis of backtests or simulated performance information.Support risk committee presentations and reporting exercises.Support model risk management policy management, review performance monitoring, and assess model certifications.QualificationsDeep understanding of financial products, risk measurement, and model validation practices, including regulatory expectations for financial institutions.Experience with financial data vendors such as Bloomberg, Refinitiv, CRSP, MSCI, Markit, S&P Capital IQ, etc.Solid understanding of financial predictive modeling, e.g., multifactor risk models, time series forecasting, ValueatRisk (VaR), optimization theory, and machine learning.Attainment or progress toward a graduate degree in business or quantitative discipline, FRM or PRM riskmanagement certification, or CFA charter.Demonstrated history of strong analytical skills and attention to detail.Masters (or equivalent) degree in mathematics, statistics, data science, finance, quantitative finance, or a related field.Experience in model development, model validation, or model governance in Credit Risk, Market Risk, Operational Risk, or Fraud Risk.Programming experience with Python, SAS, R, MATLAB, SQL, VBA, C++, or similar languages. .