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Team Lead at Black Turtle
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Model Risk Management Role - Derivative Pricing - BFS (2-5 yrs)
- Validate bank's 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.
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
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