Senior Analyst/Manager/Associate Vice President - Model Validation - Market Risk

Position Title: Sr. Analyst / Manager / AVP - Model Validation

Experience: Senior Analyst - (3-5 Years) / Manager - (5-8 Years) / AVP - (8-11 Years)

Location: Bangalore

Model Validation :

- Understanding of financial markets and products including derivatives

- Knowledge of principles of derivatives pricing

- Knowledge of stochastic calculus

- Familiarity with Python (mandatory), R, Excel and VBA

-Relevant experience in quantitative modelling

- The Model Risk Management (MRM) within ERM is responsible for model governance and the validation of models.

- MRM works closely with Risk Analytics and Front Office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes.

- MRM provides regular model risk reporting to model oversight committees and the Board.

Roles and Responsibilities:

- Initial and periodic validation of quant models

- Designing, modelling and prototyping challenger models

- Quantitative analysis and review of model frameworks, assumptions, data, and results

- Testing models numerical implementations and reviewing documentations

- Documentation of findings in validation reports, including raising recommendations for model improvements

- Ensuring models are validated in line with regulatory requirements and industry best practice.

- Tracking remediation of validation recommendations

Model Validation:

Quantitative modelling (model development or validation) in one or more of these topics:

- Market risk models

- Counterparty credit risk models

- Derivatives pricing models

- Good background in Math and Probability theory - applied to finance.

- Good knowledge of Data Science and Statistical inference techniques.

- Good programming level in Python (mandatory) or R or equivalent.

- Good knowledge of simulation and numerical methods