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18/11 Recruiter Trulux
Partner at Trulux

Views:11226 Applications:180 Rec. Actions:Recruiter Actions:21

AVP - Quant/Model Risk/Model Validation - Investment Bank (4-10 yrs)

Mumbai Job Code: 277615

We are looking at hiring for one of the leading MNC Investment Bank based in Mumbai, INDIA.

This opportunity is for a quantitative analyst role within the Model Risk Management team. The primary function is to perform detailed validation of models from across the team's areas of responsibility, including Value at Risk (VaR), Credit Ratings, Credit Parameters, Counterparty Credit, Operational Risk and Economic Risk Capital (ERC) models. Team members will have the opportunity to diversify to broader analysis of model risk and any new modelling techniques that might result from specific regulatory requirements.

Role Description :

The successful candidate will : (Model Risk Management-Team)

- Be expected to lead and manage independent validation reviews across a wide range of core Risk Capital and CCAR models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.

- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.

- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.

- Create model risk reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders

- The truly global scope of model risk means that this role will involve working with an incredibly broad group of stakeholders from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models.

Model validation reviews typically include : (Model Validation Team)

- Participation in working groups addressing modelling issues and the model control environment

- Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model

- Developing independent modelling for comparison with that under validation

- Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches

- Back testing alternative models to evaluate and compare their performance using historical simulations

- Reviewing findings with colleagues in different groups including model developers, risk managers and traders

- Developing appropriate controls to mitigate for model risk and residual uncertainty

- Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implications

In conducting the reviews the analysts perform some computationally intensive work, including :

- Developing, maintaining and running test tools to investigate different aspects of the model

- Setting up and running historical back testing scenarios

- Generating, extracting and structuring risk and value data from Front Office systems

- Implementing numerical algorithms and automating testing processes in VBA and C++

Qualifications :

Essential :

- Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, eg. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.

- At least 4 years of practical experience in financial modelling. Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling,

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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