Manager | Credit Risk Quant | Chennai | Regulatory & Financial Risk

About the role

Learn more about Risk, Regulatory & Forensic ) We are seeking a Market Risk Quant to support model development and validation. The role involves developing, reviewing/validating Market Risk (FRTB IMA, SA and Basel 2.5), Counterparty Credit Risk and Pricing models. Counterparty Credit Risk Models, including IMM / internal exposure models (EPE, EE, PFE), XVA models, Margin models (DIM, SIMM)

What you'll do

• Conducting independent reviews and validation of: Market Risk Models (FRTB – IMA & SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities)
• Assess model inputs, outputs, and assumptions; evaluate conceptual soundness and methodological appropriateness
• Perform performance testing, benchmarking, sensitivity analysis, and back-testing
• Review model implementation and identify potential model risks and remediation actions
• Prepare and review comprehensive validation and model risk reports aligned with regulatory expectations (e.g., SR 11-7, ECB, PRA)

What you need

• 2–7 yrs of experience
• Credit risk
• Market risk
• Capital markets
• Performance testing
• Statistics
• Risk management
• MBA or B.Com

Good to have

• CFA