Model Validation - C++ - Investment Banking

We are hiring for model validation experts who have hands on experience to C++.

What does this role holder do :

Summary :

- Analyse model risk across the bank's businesses, working as part of the Model Risk team in India, in close collaboration with the global Model Risk team. Devise metrics to quantify model risk exposure; maintain controls and governance of model risk; advise on measures to mitigate model risk. Communicate model risk issues and control measures to business stakeholders at all appropriate levels.

Tasks (assisting the global Model Risk team with) :

- Data analysis + Code base support: Engage with data teams, perform data analytics to support model validation; analyse model scope, use and implementation related issues; document the analysis and communicate the findings, results to the lead validator on an ongoing basis. Controls over model parameter marking.

- Testing models under stress & system integrity: Perform sensitivity analysis to identify the range of outcomes and if there are any scenarios where the model may not work as expected. Assess the model performance against the model presented by the modellers. Assess controls around data in and out of system.

- Periodic validations/ re-reviews: Supporting periodic model validations by undertaking e.g., model stability, performance, benchmarking analysis and summarising the results in a clear and presentable format. Compile re-review packs, management of re-review schedule, re-run tests, additional tests as needed. Follow up on any issues identified.

- MInT/MRF: Assisting with the MInT Help Desk, providing ongoing training and overseeing ongoing improvements; assisting with the transformation of MInT into a tool that enables tracking and reporting of model risk (i.e. are all mandatory procedures up to date, are all models within governance etc.).

- Governance & Admin: Issues- management and assisting with: reports and updates to senior management, MRM admin, management of model risk related ORBIT and GNEP issues etc.

- MI: Assist in validation and use of model related monitoring MI, which is used to assess model performance, is a basis for detailed periodic validations and external disclosures. Investigating errors and KPI breaches.

- Key relationships and interactions: Communicates with Director of Risk Assurance CoE, Head of Model Risk, Model Risk Team Leaders, model owners and developers, users- representatives, auditors etc..

What are the skills, knowledge and experience needed to do the role-

Essential :

- Minimum: degree in a quantitative subject (e.g. mathematics, physics, statistics, finance, etc.).

- Some knowledge of financial mathematics and relevant product/business experience.

- Good skills in data analysis and code base support in a financial business context.

- Excellent written and interpersonal communication skills.

- Practical hands-on, get things done personality.

- Able to quickly pick up, develop and explain complex problems.

- Skills in Microsoft products (Excel, Word, PowerPoint).

- Experience in coding in SAS

Desirable :

- PhD

- Other IT coding (C++, Python, R, etc.).

- Experience in embedding new policies and frameworks across multiple functional teams.

- Broad experience of the range of model types covered by the team.

- Understanding of Risk and Model Risk framework and its role in a financial organisation.