AVP/VP - Risk Management Division - Model Validation Group - Investment Bank

We have openings for AVP/VP for a leading Investment Bank in Mumbai.Please find the JD below and revert if interested for the opportunity

Divisional Overview:

The Risk Management Division encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile which ensures the efficient deployment of the firm's capital. It is one of the firm's core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises:

- Market Risk Management

- Credit Risk Management

- Quantitative Risk Management

- Operational Risk Management

- Data Integrity Group

Business Unit Overview:

Quantitative Risk Management- Model Validation:

The Model Validation Group (MVG) is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations. The Model Validation Group works closely with both the front office quantitative research teams, product control and risk methodologies group. The Team is also responsible for ownership of the Firm's Model Governance Framework which includes validation and documentation requirements, approval workflows, policies, procedures, control processes, management of the model inventory and reporting.

Position Specifications:

Corporate Title: Associate

Functional Title: AVP

Experience: 4 years plus (promising candidates with less than 4 years can also be considered for Analyst/Senior Analyst position)

Qualification: Grad/PostGrad/Phd in a highly quantitative field Timings General (extended hours)

Role & Responsibilities:

- 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

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 of the 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. JFSA Industry-Wide Stress Testing)

Key Skills:

Mandatory Desired Domain

- 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, depending on asset class, we are 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, Counterparty Risk Exposure models

f. Stress Testing models

- Display a proactive approach, taking initiative and working independently

- Good written English