Model Validation Lead - Derivative Pricing

Description:

Job Title: Model Validation Lead- Derivative Pricing

Corporate Title: VP

Location: Mumbai, India

Role Description:

- Performing robust independent model validation;

- Ensuring early and proactive identification of Model Risks;

- Designing and recommending Model Risk Appetite;

- Effectively managing and mitigating Model Risks;

- Establishing Model Risk metrics;

- Designing and implementing a strong Model Risk Management and governance framework;

- Creating bank-wide Market Risk policies

The Pricing Model Validation team is responsible for the independent review and analysis of all derivative pricing models used for valuation and pricing across the bank.

- The role is to independently review and analyse derivative models for pricing and risk management across Rates, FX and Hybrids.

- The role as a VP in Pricing Model Validation in Mumbai, you will work closely with the pricing validation team in London and Berlin to produce, analyse and document validation testing.

- Reviews and analysis require a good understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks.

- The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers.

- You will also have to manage the team members, across their knowledge, motivation, training, their communication with various stakeholders, quality assurance of their work and their compliance to conduct related expectations.

- Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.

- Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience.

- Experience coding in Python an advantage.

- Academic degree in a quantitative discipline (e.g. Mathematical Finance / Statistics, Maths, Physics, Engineering) with a focus on application.