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Senior Manager - Model Development

With a startup spirit and 90,000+ curious and courageous minds, we have the expertise to go deep with the world’s biggest brands—and we have fun doing it. Now, we’re calling all you rule-breakers and risk-takers who see the world differently and are bold enough to reinvent it. Come, transform with us.

Are you the one we are looking for?
We are inviting applications for the role of Senior 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 effective challenges 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.
•    Model strategies for automated decisions to facilitate the functioning of trading desks.
•    Data and quantitative analysis to support modeling 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. 
•    Bring in industry best practices and consultative inputs to help deliver continuous value to client engagements in advanced risk analytics.

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 relevant experience in market risk modeling.
•    Excellent knowledge of various statistical techniques and proven skill in mathematical modeling (Black Scholes, Hull & White, Vasicek, SABR Etc.)
•    Relevant working knowledge of Excel, Python/R in this field. 
•    Good understanding of regulatory risk modeling – FRTB, Stress Testing, Basel III IMA, etc. 
•    Good client management and communication/presentation skills – written & verbal.
•    Good project management experience and demonstrated expertise in communicating and coordinating across multiple business units. 
•    Experience in managing projects and teams in risk modeling. 
•    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.
•    Knowledge of stochastic calculus, risk and regulatory guidelines, and MRM practices.
•    Good communication/presentation skills – written & verbal.
•    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.

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.


 

Job: Senior Manager

Job ID: BFS016510

Primary Location: India - Bangalore

Education Level: Master's / Equivalent

Job Posting: Oct 11, 2021

Master Skills List: Operations

Job Category: Full Time