AVP/Vice President - Model Validation - VaR/CCAR/Pricing Models/Stress Testing

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.

- Ensure model suitability in terms of pricing, risk management of in scope products

- Preparation of model review documentation

- Model risk analysis

- This current role will look mainly into validation of FX models (local volatility, stochastic volatility, mixture models etc with the numerical methods used being PDEs, Monte Carlo)

Qualification, Experience & Skills :

- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected

- Familiarity with econometrics or general statistics is desirable

- In particular, we are looking for candidates with knowledge / experience in one or more of the following areas :

Interest Rate : Libor Market Model, HJM, Models of the short-rate

Equity : Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

Credit : Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

FX : Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Risk Models: Value at Risk, Counterparty Risk Exposure models

Stress Testing model