Manager - Market Risk/Model Validation - Investment Bank - IIT/NIT/BITS

Responsibilities:

- Validate banks pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage.

- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated

- Perform independent testing, scenario analysis and back-testing to identify/quantify model risk associated with the model being validated

- Prepare validation report and technical documents for the model being validated

- Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes

- Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.

Requirements:

- Education: Masters or Ph.D. degree in Statistics, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.

- Educational institutes: Top tier IITs, NITs, Indian Statistical Institutes, IIMs etc.

- Certifications (preferred but not mandatory): FRM, CFA etc.

- Experience Range: 5 7 years

Mandatory skills:

- Minimum of 2 or more years of experience in the quantitative modeling and/or validation field

- Strong quantitative skills

- In-depth understanding of financial mathematics including stochastic calculus, probability theory and time-series modeling

- Strong knowledge of financial instruments in one or more asset classes and financial risk management principles

- Knowledge of complex OTC derivative products and underlying risks

- Strong Written and Oral Communication

- Ability to follow up with issues and summarize discussions

- Ability to communicate clearly, effectively, and work well with people at all levels

- Attention to details

- Willingness to learn

- Strong work ethic

- Team player

Desired skills:

- Strong coding ability in Python, C++ or R is a plus

- Experience in derivatives pricing/risk models in one or more asset classes is a plus

- Experience in LATEK

- Speaking/presentation skills in a professional setting