Genpact
Location
Kolkatta | India
Job description
Assistant Manager - BFS033440
With a startup spirit and 115,000+ curious and courageous minds, we have the expertise to go deep with the world’s biggest brands—and we have fun doing it. We dream in digital, dare in reality, and reinvent the ways companies work to make an impact far bigger than just our bottom line. We’re harnessing the power of technology and humanity to create meaningful transformation that moves us forward in our pursuit of a world that works better for people. Now, we’re calling upon the thinkers and doers, those with a natural curiosity and a hunger to keep learning, keep growing People who thrive on fearlessly experimenting, seizing opportunities, and pushing boundaries to turn our vision into reality. And as you help us create a better world, we will help you build your own intellectual firepower.
Welcome to the relentless pursuit of better.
Inviting applications for the role of Assistant Manager – Data & Advanced Analytics
In this role, you will be responsible to work with the Enterprise’s Model Risk Management Teams for model development, validation, implementation & documentation - for a BFS client in North America
Responsibilities
You will be working primarily in the areas of market risk analytics and sometimes in market risk analytics and risk reporting. Your activities will include, but will not be limited to the following:
• Working with Genpact teams to support clients need in risk analytics services, primarily in market risk
• Validation of First Party and Third Party Fraud Mitigation models
• Validation of Pricing and Acquisition Models within the framework of Marketing Campaign models
• First time (baseline), change based and annual validation
• Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use
• Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines
• Development of benchmark models using statistical/machine learning techniques
• Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques
• Prepare model validation report summarizing findings and provide recommendations
Qualifications we seek in you
Minimum qualifications
• 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
• Relevant years’ experience in Banking or Capital Markets, with experience in market risk reporting or model validation.
• Knowledge of VaR, Expected Shortfall or Counterparty Credit Risk modelling.
• Knowledge of product valuation in any of Fixed Income or Derivatives
• Knowledge of stochastic models such as Black Scholes, Hull & White, SABR etc) will be added advantage.
• Strong working knowledge of Excel, Python/R in this field.
• Good communication/presentation skills – written & verbal
Self-driven, proactive, “can-do” attitude. Ability to work under ambiguity and with minimal supervision
Preferred qualifications
• Strong networking, negotiation and influencing skills
• Some understanding and experience in at least one of the regulatory risk modeling/validation guidelines – SR 11-7, FRTB etc
• Exposure to any treasury system such as Murex, Calypso, FIS Adaptiv etc.
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