Associate - Market Risk Management/Model Risk Management - Derivative Market/Global Market Domain

Job Description:

Strong into Mathematics background + Statistical Models + into Regression (Linear, Time Series, Logistics)

Experience into Global Market domain / Derivative Market

Product Pricing + Scholastic Calculus

Technical Skills:- SAS / Python / R

Location:- Gurgaon / Mumbai (Preferred Mumbai)

The bank is looking for a quantitative finance analyst in the Independent Risk and Control Function (IRM/CF) Model Risk Management team. IRM/CF Model risk management team covers all aspects of model validation for credit risk models, capital models, loss forecasting models, treasury and balance sheet models, wholesale models, PPNR models, operational risk models and all control function models including fraud models, Anti-money-laundering models & other compliance risk models, across financial products and markets. Based on their prior experience and the team's requirement, the candidate will work on one or more of these areas.

The candidate will interact with Model Developers, Model Owners and Global Control Functions to prioritize and complete validation activities and to effectively maintain and oversee the model risk governance processes. The candidate is also expected to provide support to senior management during regulatory and audit exams and submission requirements.

Responsibilities:

The candidate will be responsible for a broad range of model validation activities, including:

- Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation

- Development and implementation of effective testing plans and testing code to critically challenge models through empirical analyses and to verify model implementation

- Review and critical assessment of ongoing model monitoring activities

- Writing of technical reports for distribution and presentation to model developers, senior management, audit and banking regulators

- Coaching of junior staff members while leading validation projects.

Requirements:

- Education: Masters or Ph.D. degree in Statistics, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.

- Educational institutes: Top tier - IITs, NITs, Indian Statistical Institutes etc.

- Certifications (preferred but not mandatory): FRM, CFA etc.

- Experience Range: 5 - 7 years

Foundational skills:

- Minimum of 2 or more years of experience in the quantitative modeling and/or validation field

Strong Quantitative skills :

- Strong foundation in Mathematics, mainly Probability theory, calculus and linear algebra

- Proficient in statistical analysis and modeling

- Expertise in cross-sectional and time-series econometrics

- Experience with retail products including mortgage, credit card and auto loans

- Experience with statistical regression and/or forecasting models

- Strong knowledge of financial instruments and financial risk management principles

- Strong programming experience using SAS, R and/or MATLAB

- Strong Written and Oral Communication

- Ability to follow up with issues and summarize discussions

- Ability to communicate clearly, effectively, and work well with people at all levels

- Attention to details

- Willingness to learn

- Strong work ethic

- Team player

Desired skills:

- Familiarity with applicable regulatory guidance on model risk management, stress testing, and Basel requirements

- Speaking / presentation skills in a professional setting

- Ability to communicate clearly and effectively, and influence others

- Ability to produce high quality technical documentation

Work Timings: 12 PM - 9 PM IST

Job Location: Mumbai / Gurugram