Assistant Manager - Model Validation - BFS

Roles & Responsibilities:

- End-to-end independent validation of market risk and regulatory models - VaR, SVaR, Expected Shortfall, RNiV, PFE, CVA

- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use

- Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines

- Development of benchmark models for derivatives valuation and sensitivity analysis.

- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques

- Prepare model validation report summarizing findings and provide recommendations

Minimum qualifications

- Post-graduate degree / diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes

- Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1

- Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1

- 1-5 years' experience in Banking or Capital Markets, with experience in market risk reporting or model validation.

- Knowledge of VaR, Expected Shortfall or Counterparty Credit Risk modelling.

- Knowledge of product valuation in any of Fixed Income or Derivatives

- Knowledge of stochastic models such as Black Scholes, Hull & White, SABR etc) will be added advantage.

- Strong working knowledge of Excel, Python/R in this field.