HR at Leading Investment Bank
Views:1176 Applications:281 Rec. Actions:Recruiter Actions:2
Analyst - Model Validation - Global Risk - Investment Bank (3-5 yrs)
Analyst - Model Validation - Global Risk - Investment Bank
Divisional Overview :
- The Risk Management Division encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm.
- The division is responsible for effectively managing the firm's risk-return profile which ensures the efficient deployment of the firm's capital. It is one of the firm's core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises:
- Market Risk Management
- Credit Risk Management
- Risk Methodology
- Model Validation
Business Unit Overview :
Quantitative Risk Management- Model Validation :
The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm's Model Risk Appetite and escalates model approval breaches
Role & Responsibilities :
- Review models (Risk and Stress Testing models) - Ensure that the model meets its stated objective. This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.
- Model Risk Analysis
- Preparation of model review documentation
- The current role will specifically look into following areas
- Validation of risk models (counterparty exposure, VaR etc)
- Validation of stress testing models - models used for assessing the stability or business continuity of the Group from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.
- Activity is often project-based, being driven by various regulatory requirements (e.g. JFSA Industry-Wide Stress Testing).
Qualification, Experience & Skills :
- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
- Familiarity with econometrics or general statistics is desirable
- In particular, we are looking for candidates with knowledge / experience in one or more of the following areas :
a. Interest Rate : Libor Market Model, HJM, Models of the short-rate
b. Equity : Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
c. Credit : Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
d. FX : Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
e. Risk Models : Value at Risk, Counterparty Risk Exposure models
f. Stress Testing models