Algo Trading/Derivative Pricing Role - Model Validation/VaR - BFSI

- Independent Validation of Algorithmic Trading Models

- Development and Execution of Model Performance Monitoring to ensure that Algorithmic Trading Models are performing as intended

- Implementation of Model Risk Control processes for Algorithmic Trading Models

Model validation projects would involve :

- Performing in-depth model reviews for Algorithmic Trading Models and ensuring that the models meet their stated objectives

- Reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex model

- Model Risk Analysis and quantification of model limitations

- Preparation of model review documentation