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Algo Trading/Derivative Pricing Role - Model Validation/VaR - BFSI (3-8 yrs)
- 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
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