Model Validation Role - Investment Bank

Model Validation Role - Investment Bank

Position Description :

Model Risk Managements mission is to manage, independently and actively, model risk globally in line with the bank's risk appetite with responsibility for :

- 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 Model Risk related policies.

- Pricing Model Validation as part of MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank.

- The role is independently to review and analyse derivative models for pricing and risk management.

Position Specific Responsibilities and Accountabilities :

- The role is to independently review and analyse derivative models for pricing and risk management.

- The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London 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.

- In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed C++ library.

- 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.

People Management :

Experience/ Exposure :

- 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 C++ an advantage.

- Excellent communication skills both written and oral.

Education/ Qualifications :

- PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics. Strong candidates with other post-graduate qualifications may also be considered.