Model Validation
3 weeks ago
Role – Model Validation – Analyst / Associate / VP
Client – Global Investment Bank
Years of Experience – 1- 9 years of Risk Modeling / Pricing Models of Financial Products
Location – Mumbai.
Our client, a global Investment Bank, is looking for exceptional candidates to join their Model Validation team in Mumbai. They would be keen to explore this opportunity with candidates in Quantitative Finance space and possessing prior Model development or Model validation experience preferably in Derivative Pricing Models (e.g. Libor Market Model, Heston, Local
Volatility) or Valuation Control Models or Risk Models (e.g. VaR/Counterparty Exposure). Expertise in Stochastic Calculus would be highly coveted.
The Model Validation team is part of the firm’s larger Risk Management Division, which encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile which ensures the efficient deployment of the firm's capital.
The Model Validation team is responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. The team also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches. The current opening will specifically be aligned to the Risk Model Validation area.
Role & Responsibilities:
Review internally and externally developed Risk Models across the below categories-
Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)
Economic Risk Models
Stress Testing
Trading Wind down
Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models.
Model Risk Analysis
Preparation of model review documentation
Qualifications & Skills :
Bachelors/Masters/Phd in a highly quantitative field – STEM.
Tier 1 Colleges ONLY.
Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
Familiarity with econometrics or general statistics is desirable
General financial products knowledge
In particular, candidates with prior knowledge / experience in one or more of the following areas:
a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models
b. Stress Testing models
c. Interest Rate: Libor Market Model, HJM, Models of the short-rate
d. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
e. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
f. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
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