AVP - Model Validation - BFSI

- 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