Core responsibilities: 

The successful candidate will be covering the Risk areas such as Market Risk (may also include coverage of wholesale credit risk and other risk areas as the need arises), and will focus on the following activities :

- Engage in new model validation activities for a subset of models in the coverage area 

- Evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; 

- Completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with the use of model.

- Perform additional model review activities ranging from proposed enhancements to existing models, extensions to the scope of existing models, use of approximate bookings, to providing transaction-specific approvals.

- Liaise with Trading Desk, Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing

- Maintain model risk control apparatus of the bank for the coverage area & serve as the first point of contact

Essential skills, experience, and qualifications :

- Strong quantitative & analytical skills : The role requires a strong quantitative background based on a Ph.D. or Masters Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.

- Domain expertise in the relevant areas such as the following : Market Risk capital models including VaR Models, Derivatives pricing models, CCAR Models, Regulatory/Economic Capital Models, probability theory, econometrics, statistics, and numerical methods

- Prior experience in the following backgrounds : Quantitative Model Development, Model Validation, Trading or Structuring, Market/Credit Risk Management

- Strong communication skills and ability to interface with other functional areas in the bank on model-related issues

- Risk and control mindset : the ability to ask incisive questions, converge on critical matters, assess materiality, and escalate issues.

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