Client is looking for a quantitative finance analyst in the Global Banking and Markets (GBAM) Model Risk Management team.

GBAM Model risk management team covers all aspects of model validation and model risk of front office derivative pricing and risk models. This includes market risk models (VaR, RNIV etc.), Credit/Funding Value Adjustment (XVA) models, counterparty credit risk (CCR) models including IMM models, IRC models, margin models, etc.

The team covers OTC derivatives across asset classes ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage. Based on their prior experience and the team's requirement, the candidate will work on one or more of these areas.

The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.

- 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.

Candidate profile :

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.

- 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.

- Strong coding ability in Python, C++ or R is a plus

- Experience in derivatives pricing/risk models in one or more asset classes is a plus

- Experience in LATEK

- Speaking / presentation skills in a professional setting.

Key Skills : Model Validation, Statistical Analysis, Model Monitoring, Regression Analysis

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.