AVP/VP - Scenario Modelling/CCAR Model Validation - Investment Bank

AVP/VP - Scenario Modelling/CCAR Models Validation

Hiring for Clients Leading Investment Bank a AVP/VP Molder - Scenario Modelling/CCAR Models : Mumbai

We Offer :

- As a part of Model Risk Management the candidate will get exposure to modelling in a wide variety of risk areas such as credit risk, market risk, operational risk etc.

- The current heightened regulatory focus on these areas and the team's broader model risk scope also guarantees a significant level of interest and visibility to the business and senior management. Opportunities to present results to stakeholders as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.

Role Description :

The successful candidate will :

- Be expected to lead and manage independent validation reviews across a wide range of core Risk Capital and CCAR models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.

- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.

- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.

- Create model risk reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders

- The truly global scope of model risk means that this role will involve working with an incredibly broad group of stakeholders from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models.

You offer :

Essential :

- Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, eg. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.

- Extensive experience in financial modelling and/or model validation, with a specific focus on Trade Analysis/Scenarios/Stress-Testing/CCAR models,PPNR, macroeconomic, market risk and credit risk but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics.

- Client focus and the ability to communicate effectively with senior stakeholders (internal, external, Regulators), including the ability to explain complex topics to a diverse range of audiences.

- Experience of managing/leading teams, ideally in the context of model validation and/or financial modelling.

- Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.Hiring

Desirable :

- Experience in data management and analysis or in Front Office IT would be an advantage.

- A general understanding of global regulatory requirements is desirable to be a credible counterpart given the huge and challenging variety of models in scope.

- Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.