Market Risk Model Validation

Hiring Squad; Mumbai; On-site; INR 3,000,000 - 5,500,000; Full time

Job summary

Hiring Squad is seeking candidates in Mumbai for a senior Market Risk role focused on risk modelling and validation. You will develop and validate Market Risk and Pricing Models, work on FRTB IMA, VaR, RNIV and P2A, and support global teams as a Market Risk/Model Risk SME.

Key requirements include mandatory Market Risk experience, model development/validation, Python with NumPy/Pandas or SciPy, SQL, Excel/LaTeX, and knowledge of derivative pricing and governance.

Qualifications

• Market Risk experience is mandatory.
• Model development and/or validation experience is mandatory.
• Python is mandatory with NumPy/Pandas or SciPy experience.
• Knowledge of FRTB IMA, VaR, SVaR, RNIV, P2A, Counterparty Risk, XVA and Stress Testing.
• Derivative pricing and valuation knowledge.
• Working knowledge of SQL.
• Understanding of Financial Risk Management and Model Risk Governance.
• Good documentation and reporting skills.
• Good knowledge of MS Excel, Word, PowerPoint and LaTeX.

Responsibilities

• Develop and validate Market Risk and Pricing Models.
• Work on FRTB IMA, VaR, Stressed VaR, RNIV and P2A.
• Work on Counterparty Risk, XVA and Stress Testing models.
• Perform model validation, benchmarking and outcome analysis.
• Identify model limitations, weaknesses and risks.
• Prepare model validation reports and documentation.
• Track and close model-related findings.
• Work on derivative pricing and valuation for plain vanilla and exotic products.
• Support global teams as Market Risk/Model Risk SME.
• Follow SR 11-7 or similar model risk guidelines.

Skills

Market risk experience

Model development

Model validation

Python

FRTB IMA VaR SVaR RNIV P2A

Counterparty Risk XVA Stress Testing

Derivative pricing and valuation

SQL

Documentation and reporting

MS Excel

LaTeX

Tools

Python libraries NumPy/Pandas SciPy

SQL

MS Excel/Word/PowerPoint/LaTeX

Job description

Location

• Mumbai only
• Gurgaon/Bangalore candidates can also be considered, provided they are open to monthly travel to Mumbai as per business requirements.

Role Overview

Looking for candidates with experience in Market Risk with risk modelling and model Development and/or model validation and FRTB

Key Responsibilities

• Develop and validate Market Risk and Pricing Models.
• Work on FRTB IMA, VaR, Stressed VaR, RNIV and P2A.
• Work on Counterparty Risk, XVA and Stress Testing models.
• Perform model validation, benchmarking and outcome analysis.
• Identify model limitations, weaknesses and risks.
• Prepare model validation reports and documentation.
• Track and close model-related findings.
• Work on derivative pricing and valuation, including plain vanilla and exotic products.
• Support global teams as a Market Risk / Model Risk SME.
• Follow SR 11-7 or similar model risk guidelines.

Skills Required

• Market Risk experience is mandatory.
• Model development and/or model validation experience is mandatory.
• Python is mandatory, with hands‑on experience in libraries such as NumPy / Pandas OR SciPy, etc.
• Knowledge of FRTB IMA, VaR, SVaR, RNIV, P2A, Counterparty Risk, XVA and Stress Testing.
• Knowledge of Derivative Pricing and Valuation.
• Working knowledge of SQL.
• Understanding of Financial Risk Management and Model Risk Governance.
• Good documentation and reporting skills.
• Good knowledge of MS Excel, Word, PowerPoint and LaTeX.