Derivatives Model Validation Specialist

3 days ago

Gurgaon, Haryana, India beBeeRisk Full time ₹ 1,50,00,000 - ₹ 2,00,00,000
Model Validation Expert

You will play a critical role in ensuring the accuracy and reliability of risk and regulatory models across various business functions. Your responsibilities will include:

  • Independent model validation, focusing on comprehensive model validation within the second line of defense.
  • Exhaustive model validation involving conceptual assessment of the model's use, methodology, assumptions, limitations, ongoing monitoring and control, as well as outcome analysis.
  • Development of benchmark models as required.
  • Assessment of the model monitoring and implementation process, including model calibration techniques.
  • Preparation of a model validation report summarizing findings and providing recommendations.

To succeed in this role, you will need to possess a postgraduate degree/diploma in Statistics, Mathematics, Economics/Econometrics, Physics from a reputable institution with courses in Financial Engineering or FRM/CQF Level 1. Alternatively, an undergraduate degree in Engineering from a reputable institution with courses in Financial Engineering or FRM/CQF Level 1 will be considered.

  • A strong understanding and experience in at least one of the regulatory risk modeling/validation guidelines, such as SR 11-7, FRTB, Stress Testing, Basel III IMA, CAR: Chapter 9, etc.
  • Experience with treasury systems like Murex, Calypso, or market data providers such as Bloomberg and Reuters.
  • Knowledge of VaR, Expected Shortfall, or Counterparty Credit Risk modelling.
  • Understanding of product valuation in Fixed Income or Derivatives.
  • Knowledge of stochastic models like Black Scholes, Hull & White, SABR, etc.
  • Working knowledge of Excel, Python/R in this field.
  • Good communication/presentation skills - written and verbal.
  • A self-driven, proactive, and 'can-do' attitude, with the ability to work under ambiguity and with minimal supervision.

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