ENO/AVP - Model Risk Validation - Investment Banking

ENO-AVP Model Risk Validation- Team Lead

Position : ENO & AVP

Job location : Mumbai

Department : Investment Banking

Essential :

Qualifications : Masters in( Mathematics, Physics, Engineering, Finance ) or then a qualified Grad from IIT's.

- Must have financial modeling/ Model Validation, market risk exposure.

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

- Must belong to financial / IB background.

- Team handling is needed.

- Candidate must have model validation reviewing, developing and model risk reporting exposure.

Those who qualify above criteria only must apply

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.

Role Description :

The successful candidate will :

- Be expected to lead and manage independent validation reviews across a wide range of core Risk Capital or the other business impactful 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.

Departmental overview :

- Part of the Risk Division, the Model Risk Management (MRM) team has a mandate to validate the Bank's Risk Capital models and more generally to identify, measure and manage model risk across the organisation. The team is established in London, Zurich, Mumbai and New York.

- 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.

- The diversity of projects available within this role offers the chance for team members to gain a broad range of risk model experience, but also to specialize if preferred.

Ankita Mishra

9807673995