Model Risk Quantitative Analyst, VP

2 days ago

Bengaluru, Karnataka, India NatWest Group Full time ₹ 20,00,000 - ₹ 25,00,000 per year

Join us as a Model Risk Quantitative Analyst

  • If you have excellent quantitative modelling skills and a talent for problem solving, we think you'll enjoy a real sense of purpose in this role
  • You'll be harnessing your mathematical prowess to evaluate and validate sophisticated and widely used pricing models across our bank
  • It's a chance to deepen your knowledge, develop your profile and explore your potential in a truly purpose-led role and inclusive team
  • We're offering this role at vice president level
What you'll do

In today's rapidly changing world, our ability to understand tomorrow and make better decisions today is key. But while we can't see into the future, we can use data to predict it. And when we use this data and the assumptions derived from it to model what our future could look like, we can begin to navigate the unknown, alleviate uncertainty and uncover valuable insights.

But using these models invariably presents model risk. And as our Model Risk Quantitative Analyst, it'll be your job to review and independently validate our pricing models to determine their adequacy, limitations, and the level of model risk they pose.

Day to day, you'll be:

  • Assessing and performing Prudential Valuation and Model Risk Valuation Adjustment calculations
  • Facilitating model risk analysis to satisfy our regulatory responsibilities
  • Sharing your findings and any significant risks with your stakeholders
  • Providing oversight of our first line of defence model assurance activities
  • Reviewing analysis, code and reports developed by our Model Development teams
  • Developing our codebase by adding functionality, fixing issues and testing code
The skills you'll need

With a degree in a quantitative subject like Mathematics, Physics or Quantitative Finance, you'll bring the determination and perseverance that comes with tackling ideas that are hard to understand and problems that are hard to solve. And with great communication skills, you'll be able to assimilate highly technical information, simplify complex concepts, and deliver clear mathematical exposition too.

You'll also bring great working habits like being organised, thorough and painstaking in your work, good at working under pressure, and equally content working on your own or together as a team.

And you'll bring this all together with:

  • Advanced quantitative modelling skills
  • Post-graduate experience in model valuation
  • A basic understanding of the risks and issues posed by pricing models
  • An understanding of derivatives pricing, ideally relating to rates derivatives, FX derivatives or xVA
  • Programming experience in Python, R, C# or another relevant language

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