Senior Market Risk Modeller | Investment Bank

Senior Market Risk Modeller - Investment Bank - Our client is a fastest growing leading international investment Bank. Due to continuous growth in the region, they are expanding their Mumbai team. Hence, they are looking to hire an individual who oversees the risk models and meeting both internal management and regulatory requirements who brings 6 to 12 years of experience working in international banks. Some of the key responsibilities will include : - Develop models, ensuring theoretical soundness by employing advanced mathematical and statistical techniques. - Ensuring the models are effectively tested, design and execution, results interpretation and presentation, and production of robust documentation. - Collaborate with colleagues across the world, and regularly engage with partners such as business, senior management, and regulators. - Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture. - Ensuring that the models are documented for both external and internal purposes (regulatory). - Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications. To be eligible for this role you will require : - Experience in audit, governance, risk or in a business environment. - Degree in mathematics, physics, econometrics, statistics, or engineering is preferred. Professional qualification e.g., CFA, FRM, PRIMA would be an advantage. - Strong understanding of financial and derivative products, and risk modelling. Strong foundation in Probability and Statistics. - Excellent analytical and problem-solving skills, and knowledge of risk management concepts and techniques such as VaR, Stressed VaR, regression and time series modelling. - Have experience/knowledge of market risk RWA modeling for example VaR/SVaR, CVA, etc. - Proficiency in programming language such as R, Python, C++, MATLAB - Good MS Excel/ Access/SQL and VBA knowledge. - Strong presentation skills; able to document and communicate complex topics to a diverse range of audiences. - Willingness to question and challenge the status quo and ability to provide alternative approaches. - Dedication to fostering an inclusive culture and value diverse perspectives.