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 Risk Management

Business Unit Overview:

Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for:

1. Executing and maintaining an effective Model Risk management framework.

2. Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.

3. Independently validating the integrity and comprehensiveness of the Models in the Firm.

What We Offer:

- We support employee wellbeing by ensuring a sense of purpose and belonging.

- We offer a comprehensive range of wellbeing services which allows employees to get access to the assistance they need at any point in their wellbeing journey.

- Our bespoke benefits support employees and their family's holistic wellbeing and are inclusive of diverse identities and family structures.

Position Specifications:

Experience - 4 years +

Qualification - Grad/PostGrad/Phd in a highly quantitative field

Roles and Responsibilities:

The current position is for a Risk Model Validator in Market Risk modelling space. The models covered could range across:

- Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

- Internal Economic Risk Models

- Stress Testing

Validation tasks would include reviewing the:

1. Conceptual soundness and the implementation of the model

2. Model Risk Analysis

3. Preparation of model review documentation

4. Review of Model Performance Monitoring

5. Periodic Reviews of Models

Key Skills:

Mandatory

Domain: 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.

- General financial products knowledge.

- In particular, we are looking for candidates with prior knowledge / experience in one or more of the following areas:

1. Risk Models: FRTB IMA and SA, Value at Risk, Counterparty Risk Exposure models, Margin Models

2. Stress Testing models

3. Interest Rate: Libor Market Model, HJM, Models of the short - rate

4. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

5. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

6. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)