AVP/VP - Quantitative Model Validation - Financial Firm

Role & Responsibilities:

Review internally and externally developed Risk and Stress Testing, models. Depending on prioritization, projects could involve working on validating market risk, stress testing or counterparty exposure models. Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models

- Model Risk Analysis

- Preparation of model review documentation

- The current role will specifically look into following areas:

- Validation of risk models (counterparty exposure, VaR etc) and/or

- Validation of stress testing models - models used for assessing the stability or business continuity from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management

- Activity is often project-based, being driven by various regulatory requirements (e.g. FRTB IMA development, JFSA Industry-Wide Stress Testing)

Mind Set:

- 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

- General financial products knowledge

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

- Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models

- Stress Testing models

- 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.)