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30/06 Romi Shukla
Consultant at Black Turtle

Views:250 Applications:34 Rec. Actions:Recruiter Actions:20

Assistant Vice President - Model Risk Management - Investment Bank (7-13 yrs)

Mumbai/Bangalore Job Code: 1118586

AVP- Model Risk Management


Overall Skills:

- Top tier college (with Masters in Mathematics, Economic, Statistics etc)

- Only Top Investment Banks

- Strong in coding - Python or so

- Primarily from Pricing domain, having worked in Asset class like Fixed income, Equity, FX derivatives with exposure in Stochastic volatility modeling, Interest rate modeling, Monte carlo simulation, valuation etc

- Certification in FRM, CQF, CFA desirable

Highlights for Technical skills:

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models.

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

Global Business/Global Function - Sub-Function (MRM) :

- Model Risk Management ("MRM") is responsible for providing second line of defense for HSBC's model risk

- Independently Validate & challenge models developed by first line of defense in accordance with

MRM Policies & procedure :

- Set policy, standards and guidelines for managing model risks;

- Provide advice and guidance to support those policies; and

- Review and challenge of the first line of defense model risk activities to provide assurance to the Model Risk Steward.

- Effectively challenge models and critical processes implemented for use across different HSBC legal entities and functions

INTERNAL :

The MRM team consists of Model Risk Stewards, Model Risk Governance ("MRG"), Independent Model Review ("IMR"), and regional MRM teams.

Job Description:

- Decision Sciences job family is structured to address business problems with quantitative solutions like building of predictive algorithms / forecasting / scenario simulations etc.


- Members of this Job Family are differentiated by their capability of converting a business problem into a quantitative construct, solve it with available statistical / mathematical methods (following the right rigour), engage with IT to implement and finally interpret the model outcomes in business language.


- The range of business problems may cover areas of business growth, improving customer experience, limiting risk exposure, capital quantification, enhancing internal business processes etc.


- They are required to, as necessary, embed agile & exploratory practices into their approach, justify the choice of appropriate methods to various internal and external reviewers.


- This talent group is expected to keep themselves apprised of latest developments and industry practices around emerging methodologies, techniques etc. and bring those in-house by applying them for better outcomes.


A decision sciences job family member should be able to: -

- Apply relevant analytical methods / algorithms to get actionable insights from HSBC's internal (both structured and unstructured) and external data sources.

- Partner with IT / Data Engineering teams to create deployment road-map.

- Provide actionable solutions with clear articulation of recommendations for the business stakeholders across geographies.

- Independently manage delivery of analytics projects by working with business partners across regions / geographies.

- Actively contribute in innovative analytical solutioning for improved business performance.

Skills/Experience Required:

- Minimum 7-8 years of experience of financial modelling experience in validation/development in Risk Management in
Market Risk.

- Master's degree in Mathematics/Statistics/Economic/Engineering/Computer Science/Management or any other quantitative fields of study.

INTERNAL :

- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis.

- Proficiency in SAS / R, Python, Matlab and MS Office tools like Excel & PowerPoint.

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value.

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models with focus on Interest rate, Equity, FX products.

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc.

- Candidate should have experience in Stochastic Volatility modeling, calibration etc.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

- Candidate should be able to lead a team of junior analysts and be responsible for team management/ project management and provide guidance/coaching across multiple projects.

- Candidate should have strong understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7.

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends.

- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.

- Strong business acumen with out-of-the box thinking to drive improved business performance.

- Strong stakeholder management skills and seamless delivery of analytics initiatives across markets.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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