AVP - Model Validation - Investment Bank

Company: Leading Investment Bank

Location: Mumbai

Education: First degree in mathematics, physics or engineering, and probably a Masters or PhD in one of those areas or finance.

Experience: 4 - 5 years

Job Responsibility:

- Participation in working groups addressing modelling issues and the model control environment

- Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model

- Developing independent modelling for comparison with that under validation

- Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches

- Backtesting alternative models to evaluate and compare their performance using historical simulations

- Reviewing findings with colleagues in different groups including model developers, risk managers and traders

- Developing appropriate controls to mitigate for model risk and residual uncertainty

- Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implications

Required Skill Sets:

- Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling.

- Understanding of capital modeling, financial and derivative products and mathematics.

- Candidates should be self-motivated, disciplined, task focused, able to structure their work and have a proven record of delivering high quality results to strict deadlines.