Job Description
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.
• 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.
💡 Quick Summary
Seeking a career-building opportunity? The Senior Model Development Lead | Investment Bank position is now open for candidates interested in the Bank Jobs sector. This role in Chennai offers a professional environment and growth potential.
Requirement Snapshot: Candidates should possess basic communication skills, a proactive attitude, and the ability to work in a team. Experience in Bank Jobs is a plus.
