Associate Director Consultant

2 weeks ago

Bengaluru, Karnataka, India Acuity Knowledge Partners Full time

Job Purpose

  • Provide strategic vision and leadership for the Model Risk Management (MRM) team, ensuring robust model risk oversight and a best-in-class validation function across the organization.
  • Oversee and execute comprehensive model validation and review processes in accordance with client's model risk management policy to assess model usage, documentation, conceptual soundness, data integrity and the control environment.
  • Lead the effective implementation, maintenance, and continuous improvement of Model Risk Governance frameworks, policies, standards, and procedures in strict alignment with regulatory standards and internal risk appetite
  • Oversee and execute comprehensive model validation and review processes for all key model types, including Credit Risk (PD, EAD, LGD), Market Risk, CCR, Interest Rate Risk, Fraud Risk, Stress Testing, AML transaction screening, Pricing, Prepayment models etc.
  • Perform ad hoc (generally statistical) analysis of back-tests or simulated performance information.
  • The Credit Valuation Adjustment (CVA) accounts for measures of counterparty non-performance risk and is an adjustment made to the value of a financial instrument to reflect the possibility that a counterparty might default when the instrument is an asset for the sponsor.
  • The Pricing and Potential Future Exposure model (PFE) produces distributions of rate or valuation outcomes based on expectations of future interest rates. It is used for pricing new customer trades for interest rate swaps before taking to market and in credit underwriting.

Desired Skills and experience

  • Master's degree in mathematics, statistics, data science, finance, Quantitative Finance, or a relevant field.
  • Experience in model development, model validation or model governance in the fields of Credit Risk, Market Risk, Operational Risk, Fraud Risk.
  • Programming experience with demonstrated exposure to multiple languages such as Python, SAS, R, MATLAB, SQL, VBA, C++ or similar languages.
  • Deep understanding of financial products, risk measurement, and model validation practices, including regulatory expectations for financial institutions.
  • Experience required in building and pricing trades including Mark to Market Valuations, CVA models, Pricing and potential future exposure models
  • Familiarity with vendor investment analytic applications: QRM, Moody's Analytics, Aladdin, Axioma, Barra Portfolio Manager, Barra One, RiskMetrics 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.
  • Attainment or progress toward at least one of the following: Graduate degree in business or quantitative discipline, FRM or PRM risk management certifications, Chartered Financial Analyst (CFA) charter
  • Demonstrated history of strong analytical skills and attention to detail.

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