Assistant Vice President/Associate - SIMM Margin Model Risk

Description:

• Hiring: AVP/Associate SIMM Margin Model risk
• Non Negotiables: SIMM and Margin Model Risk experience
• Location: Powai, Mumbai
• Experience Required: AVP + Associate (8-10 years with SIMM & VaR backtesting)

We are hiring an experienced SIMM professional to join the Risk Methodology / Risk Model Performance Monitoring function at the Assistant Vice President (AVP) and Associate level. This role is critical to regulatory and internal model governance, with a strong and mandatory focus on Backtesting within VaR and SIMM frameworks.

Key Responsibilities:

• Mandatory ownership of Backtesting within VaR testing and SIMM model performance monitoring
• End-to-end SIMM backtesting, benchmarking, exception analysis and reporting
• VaR backtesting and ongoing performance monitoring of internal market risk models
• Deep-dive root cause analysis of backtesting breaches/exceptions across asset classes
• Engage with Front Office, Product Control, Risk IT, Quants and Regulators
• Act as Subject Matter Expert for SIMM and VaR model performance
• Maintain and enhance backtesting policies, procedures and governance documentation
• Support automation of model performance monitoring and reporting frameworks
• Lead and present findings in senior stakeholder and model governance forums
• Manage regulatory communication related to SIMM and VaR backtesting outcomes

Mandatory Skills & Experience:

• 8+ years of experience in SIMM and VaR Backtesting (reporting and breach root-cause analysis)
• Backtesting within VaR testing is mandatory
• Strong hands-on experience with SIMM model performance monitoring
• Solid understanding of market risk models for derivative products across asset classes
• Proven experience working with regulators and senior stakeholders
• Strong analytical capability in statistical testing, sensitivity analysis and model benchmarking

Technical Skills:

• Python, SQL and Excel/VBA (mandatory for analysis and reporting)
• Experience in process automation and working closely with Risk IT teams

Educational Qualifications:

• Masters degree in a quantitative discipline, Finance, Economics, or equivalent
• FRM / PRM / CFA certification is a strong advantage