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Market Risk Model Validation - Bengaluru, India - Acuity Knowledge Partners
Description
Key Responsibilities:
Evaluate model performance monitoring reports, and conduct model annual reviews.
Maintain the model inventory and support the model risk governance process.
Perform ad hoc (generally statistical) analysis of back tested or simulated performance information.
Desired Qualifications -Experience in model development, model validation or model governance
Hands on experience minimum 2.5-7 years in similar portfolios.
Programming experience with demonstrated exposure to multiple languages such as Python, SAS, R, MATLAB, SQL, VBA, C++ or similar languages.
Familiarity with vendor investment analytic applications: Aladdin, Axioma, Barra Portfolio Manager, Barra One, RiskMetrics, Yieldbook, Moody's Analytics, etc.Experience with vendor financial data vendors: Bloomberg, Refinitiv, CRSP, MSCI, Markit, S&P Capital IQ, etc.
Solid understanding of financial predictive modeling, such as multi-factor risk models, time series forecasting, Value-At-Risk (VaR), optimization theory, and machine learning.