Vice President

4 months ago


Mumbai, India A leading Financial Services Group Full time
Quantitative Risk Management - Model Validation

Model Validation:The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches.

The current position is in Risk Model Validation space. The models covered could range across1. Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)2. Economic Risk Models3. Stress Testing4. Trading Winddown

Position Specifications:Corporate Title:

VP / DirectorExperience:

9-15 yearsQualification:

Grad/PostGrad/Phd in a highly quantitative field

Role & Responsibilities:1. Review internally and externally developed Risk Models across the below categories-(a) Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)(b) Economic Risk Models(c) Stress Testing(d) Trading Winddown

2. 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.

3. Model Risk Analysis4. Preparation of model review documentation

Qualification, Experience & Skills:1. Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected2. Familiarity with econometrics or general statistics is desirable3. General financial products knowledge

In particular, we are looking for candidates with prior knowledge / experience in one or more of the following areas:a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Modelsb. Stress Testing modelsc. Interest Rate: Libor Market Model, HJM, Models of the short-rated. 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 calculationf. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
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