Associate/Senior Associate/AVP - Market Risk/Model Validation - Stochastic Calculus (4-8 yrs)
- Review models (Risk and Stress Testing models)
- Ensure that the model meets its stated objective.
- This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.
- Model Risk Analysis
- Preparation of model review documentation
- The current role will specifically look into following areas
- Validation of risk models (counterparty exposure, VaR etc) and/or
- Validation of stress testing models - models used for assessing the stability or business continuity from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.
- Activity is often project-based, being driven by various regulatory requirements (e.g. JFSA Industry-Wide Stress Testing).