Associate/VP - Model Risk - Bank

A leading global bank is looking for Associate / VP for their model risk team in Mumbai that performs model validation activities to provide guidance on a model's appropriate usage in the business context, evaluating ongoing model performance testing and ensuring that model users are aware of the model strengths and limitations.

Responsibilities: 

- Evaluation of concepts related to model specification logical assumptions and reliability of inputs.

- Complete testing performed to support the accuracy of implementation

- Strong understanding of numerical aspects

- Suitability of performance metrics

- Risk measures associated with the use of the model.

- Review and approve enhancements, an extension to the scope of existing models

- Knowledge of latest development in areas like products, markets, models, risk management practices and industry standards

Requirements

- Ph.D. or Master's Degree (or equivalent) in Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.

- Domain expertize in Interest Rate models, securitized products, CCAR & regulatory capital, probability theory, econometrics, statistics, and numerical methods

- Prior experience for minimum of 5 years in Quantitative Model Development, Model Validation, Trading or Structuring, Market/Credit Risk Management