Manager - Model Development
- Genpact India
- 5 to 11 Yrs
- Noida, Gurugram
- 4 years ago
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Job Description
Inviting applications for the role of Manager, Model Development
In this role, you will be responsible for model development, implementation & documentation for a BFS client in the US
You will be working with the model development function of a large banking client and will focus on data validation, model implementation, model monitoring of risk and regulatory models across business functions, and development of challenger models as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors, and client model developers. You will be expected to work hands-on to assess models, build and lead development teams, and bring in thought leadership and domain/quantitative best practices to present an effective challenge to the models.
Responsibilities
Work hands-on in development, re-development, and calibration of risk and regulatory models, including but not limited to pricing and valuation models covering at least one of Fixed Income, Equity, FX, Commodities, and Credit derivatives.
Modelling strategies for automated decisions to facilitate the functioning of trading desks.
Data and quantitative analysis to support modelling decisions and ensure the correctness of the market data sourced from several vendors.
Work on the development of model methodologies, algorithms, and diagnostic tools for testing model robustness, sensitivity, and stability.
Detailing of model techniques and interpretation of variables used in the models to be documented and presented to client stakeholders.
Develop model performance metrics and a detailed model monitoring plan to ensure continued use of the pricing and valuation models.
Help develop thorough technical documents for distribution and presentation to senior management, model developers, auditors, and regulators.
Qualifications we seek in you
Minimum qualifications
Post-graduate degree/diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes
Post-graduate degree/diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1
Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1
Experience in BFS analytics, with experience in market risk modelling.
Excellent knowledge of various statistical techniques and proven skill in mathematical modelling (Black Scholes, Hull & White, Vasicek, SABR Etc.)
Working knowledge of Excel, Python/R in this field.
Exposure to any treasury system such as Murex, Calypso, FIS Adaptiv, etc or market data providers such as Bloomberg and Reuters will be an added advantage
Some understanding of regulatory risk modelling FRTB, Stress Testing, Basel III IMA and CAR: Chapter 9
Effective communication/presentation skills written & verbal.
Self-driven, proactive, can-do attitude. Ability to work under ambiguity and with minimal supervision to meet delivery requirements.
Preferred qualifications
Good networking, negotiation, and influencing skills
Some understanding and experience in at least one of the regulatory risks modelling/validation guidelines SR 11-7, FRTB, etc.
Exposure to any treasury system such as Murex, Calypso, FIS Adaptiv, etc., or market data providers such as Bloomberg and Reuters.
Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube.
,Employement Category:
Employement Type: Full timeIndustry: IT - SoftwareRole Category: General / Operations ManagementFunctional Area: Not ApplicableRole/Responsibilies: Manager - Model DevelopmentContact Details:
Company: Genpact IndiaLocation(s): Noida, Gurugram
Genpact India
Genpact (NYSE: G) is a global professional services firm focused on delivering digital transformation for our clients, putting digital and data to work to create competitive advantage. We do this by integrating lean principles, design thinking, analytics and digital technologies with our domain and ...
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