AVP Sr Manager

2 months ago

Mumbai, India Riverforest Connections Private Limited Full time

JobPurpose:

Independent reviewand validation of different derivative pricing models and RiskModels (both market risk and counterparty credit risk). Remainupdated with different model governance and regulatoryprescriptions. The team is part of Model Validation within RiskResearch and Model validationteam.

JobResponsibilities

Independentreview and validation of different derivative pricing models andRisk Model (both market risk and counterparty credit risk) andlogic defined for riskmanagement.

  • Performvalidation of pricing models where you critically look at theproposed model analyze model suitability and its shortcomingsquantify missing risk develop alternative models (wheneverrequired) benchmark with industry practice model and make finaljudgement on the quality of themodel.
  • Perform validation of sensitivityanalysis greeks for risk measurement (e.g. PV01 Convexity DeltaGamma Vega and other higher order sensitivity factor whereverapplicable)
  • Validate different risk metricmodel. e.g. VAR sVAR counterparty credit risk margin model HC modelCVA model etc.
  • Developand maintain the programming library which is used for analysis ofthe models and for asserting of the accuracy of the implementationand usage of themodel.
  • Writehigh quality validation reports discuss your findings withcolleagues front office quants and traders and senior management.Present your reports at the correspondingcommittees.
  • Candidate would also be expectedto evaluate the adequacy of theoretical framework assumption andmodel design. Conduct research as required and provide supportingmaterials (white papers/ RBI/EBA publications) to either support orreject a modelling framework
  • Conduct scenario analysissensitivity analysis and back testing analysis. The sensitivityanalysis would include sensitivity of model results to changes inparameters and data inputs
  • Assess limitations of modelresults for its intended use and adequacy of modeldocumentation
  • Performadhoc analyses for acute businessneeds.
  • Responding to RBI on any queriesrelated to model validation and putting requisite process /controls in place
  • Depending on the seniority mentorjunior members in the team on various aspects related to modelbuilding model validation

EducationalQualifications

  • Quantitativebackground.PostGraduationdegree in Statistics/ Mathematics/ Physics/Quantitative financefrom a respected institution. (e.g. ISI IIT BITsetc.)
  • B.Tech./M.Tech. (Dual Degree)from IIT NITIE with Engineering/Statistics background preferably.
  • Any certification in risk wouldbe an added advantage

KeySkills

  • Goodknowledge of financial mathematics. You know the theory ofstochastic calculus and derivative pricing and derivative riskmanagement.
  • Knowledge of Financial Marketsand Instruments
  • Understanding of the riskinvolved in various treasury products / financial instruments
  • Knowledge of Excel Programmingusing VBA or any other Database management software
  • Eagerness to explore and Interesttowards Risk Management of Financial Products
  • Candidates should have goodknowledge on topics like Multidimensional data Time series dataMultivariate statistics etc.
  • Strong technical & analyticalskills
  • Strong written and verbalcommunication skills

ExperienceRequired

  • 35 years experience ofworking in Market Risk or Counterparty Credit Risk Analytics MarketRisk or Derivative pricing model validation with at least 12 yearsexperience in Model Validation.
  • Exposure to banking/ investmentbanking is preferable.

model validation,market risk,counterpartyrisk,pricing models,treasury,analytics

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