Department Profile

The cornerstone of Our risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Our capital base and franchise. Risk Management protects the firm from exposure to losses resulting from market volatilities and defaults by our lending and trading counterparties.

Background on the Position

We have established a new Model Risk Management (MRM) team within our Mumbai offices. Our Global MRM team is broadly responsible for the risk management of all of the Firm's models involving model validation, risk assessment, and governance.

We are is seeking a strong candidate to be a member of the MRM team in Mumbai, focused on the review, validation and risk assessment of some Risk and Capital models. These models will cover Capital Planning models like RWA, ICAAP, CCAR. Most of these are spreadsheet-based models.

Primary Responsibilities

- Provide independent review and validation compliant with Model Risk Management policies and procedures, regulatory guidance and industry leading practices, including evaluating conceptual soundness, quality of modeling methodology, model limitations, data quality, and on-going monitoring for market risk models

- Take initiatives and responsibility of end-to-end delivery of a stream of Model Risk Management related deliverables for a wide variety of models

- Apart from being an Individual Contributor, also manage a small team

- Follow financial markets & business trends on a frequent basis to enhance the quality of Model Risk Management.

- Write Model Risk Management findings in validation documents that could be used for presentations both internally (model developers, business unit managers) as well as externally (regulators).

- Verbally communicate results and debate issues, challenges and methodologies with internal audiences including senior management

- Represent Model Risk Management team in interactions with regulatory and audit agencies as required

Qualifications:

Skills required (essential / preferred):

- Masters or Doctorate degree in a technical area such as Statistics, Mathematics, Physics or Engineering from Tier I institute

- 3-11 years of work experience with some of it in MRM in a bank or financial institution working on Capital Planning models like RWA models

- Programming skills in Python is preferred and experience in excel modeling is essential

- Strong written & verbal communication skills including debating issues and making formal presentations

- Attention to details and ability to work under pressure and cope with a fast-moving environment

- Ability to quickly learn new and novel concepts/techniques and technology/applications and use them effectively in model review and challenge

- Desire to work in a dynamic, team-oriented, fast-paced environment focusing on challenging tasks mixing fundamental, quantitative and market-oriented knowledge and skills

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