Manager- Market Risk Models

• Master’s or PhD degree in quantitative finance, mathematics, statistics, physics, engineering, or a related field.
• Minimum 3 years of experience in market risk modelling or a similar role in a financial institution or consultancy firm.
• Strong knowledge of market risk concepts, measures, and regulations such as VAR, stress testing, ALM, Basel III, etc.
• Proficient in programming languages such as Python, R, MATLAB, C++, etc. and familiar with databases and data analysis tools such as SQL, Excel, etc.
• Excellent analytical, problem-solving, and communication skills and attention to detail.
• Ability to work independently and as part of a team in a fast-paced environment.

• Developing, validating, and implementing models for value-at-risk (VAR), stress testing, and asset-liability management (ALM) using advanced statistical and mathematical techniques.
• Performing data analysis, back testing and scenario analysis to assess the performance and accuracy of the models.
• Providing technical support and documentation for the models and ensuring compliance with regulatory requirements and internal policies.
• Collaborating with other teams such as trading, finance, and IT to integrate the models into the risk management framework and systems.
• Conducting research on new methodologies and best practices for market risk modelling and staying updated

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