The candidate will be responsible for a broad range of model validation activities, including:
- Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation
- Development and implementation of effective testing plans and testing code to critically challenge models through empirical analyses and to verify model implementation
- Review and critical assessment of ongoing model monitoring activities
- Writing of technical reports for distribution and presentation to model developers, senior management, audit and banking regulators
- Coaching of junior staff members while leading validation projects.
Requirements:
- Education: Masters or Ph. D. degree in Statistics, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.
- E Statistical Institutes etc.
- Certifications (preferred but not mandatory): FRM, CFA etc.
- Experience Range: 5 - 7 years
- Foundational skills:
- Minimum of 2 or more years of experience in the quantitative modelling and/or validation field
- Strong Quantitative skills
- Strong foundation in Mathematics, mainly Probability theory, calculus and linear algebra
- Proficient in statistical analysis and modelling
- Expertise in cross-sectional and time-series econometric
- Experience with retail products including mortgage, credit card and auto loans
- Experience with statistical regression and/or forecasting models
- Strong knowledge of financial instruments and financial risk management principles
- Strong programming experience using SAS, R and/or MATLAB
- 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:
- Familiarity with applicable regulatory guidance on model risk management, stress testing, and Basel requirements
- Speaking / presentation skills in a professional setting
- Ability to communicate clearly and effectively, and influence others
- Ability to produce high quality technical documentation
Work Timings: 12 PM - 9 PM IST
Job Location: Mumbai / Guru gram
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