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Leadership hiring specialist at Enigma Human Capital
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AVP - Model Validation - BFSI (3-15 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
- Familiarity with econometrics or general statistics is desirable looking for candidates with knowledge/experience in one or more of the following areas:
a. Interest Rate: Libor Market Model, HJM, Models of the short-rate
b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
e. Risk Models: Value at Risk
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