Associate Director - Risk Modelling - Bank

Hiring for a leading Bank - Associate Director - Risk Modelling - Mumbai

Are you an expert in analytics?

Are you an innovative thinker who is interested in how models work and what their limitations are?

Are you an engaged and motivated personality?

For our market risk models validation team we're looking for a quantitative analyst who can carry out project-based independent model assessments in line with the model governance policy and regulatory requirements, notably :

- Assess the model's conceptual soundness and methodology

- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as of qualitative or expert adjustments

- Review outcome, impact and develop benchmark approaches

- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations

- Document the assessment to required standards

- Interact and discuss with stakeholders (model developers as well as senior model owner and model governance bodies)

- You'll be working in the Market Risk team of Model Risk Management & Control (MRMC) team in Airoli, Mumbai. Our model validation team is responsible for the independent review and challenge of market risk models used within the Bank. The model universe covers but is not limited to Value-at-Risk, Risks-not-in-VaR, Market risk Stress Loss etc. including the entire suite of model changes due to FRTB, and Libor transition.

You have :

- An advanced degree in finance, financial mathematics, statistics, or a related quantitative field

- Proven experience (4+ years) in market risk, risk modeling or model validation.

- The ability to apply quantitative techniques to solve practical problems

- An understanding of financial markets, financial products (including derivatives) and the regulatory landscape.

- Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally

- Proficient in statistical modeling software (knowledge of R programming is preferred)

- Co-operative and team-orientated, while being able to motivate and organize yourself and complete tasks independently to high quality standards

- Fluent in English, oral and written