Quantitative Risk Management- Model Validation: The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm's Model Risk Appetite and escalates model approval reaches. Roles &amp; Responsibilities: Review internally and externally developed Risk and Stress Testing, models. Main focus of the role is to validate FRTB internal model methodologies by ensuring that the models meet their stated objective. However, depending on prioritisation, projects could also involve working on validating stress testing, counterparty exposure and other market risk models. Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios &amp; boundary conditions for complex models. - Model Risk Analysis - Preparation of model review documentation - The current role will specifically look into following areas - Validation of risk models (counterparty exposure, VaR etc with expected primary focus on FRTB IMA) and/or - Validation of stress testing models - models used for assessing the stability or business continuity of the Nomura Group from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management. - Activity is often project-based, being driven by various regulatory requirements (e.g. FRTB IMA development, JFSA Industry-Wide Stress Testing). Skill Set required: Qualification, Experience &amp; Skills: - Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected - Familiarity with econometrics or general statistics is desirable - General financial products knowledge - In particular, we are looking for candidates with knowledge/experience in one or more of the following areas: a) Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models b) Stress Testing models c) Interest Rate: Libor Market Model, HJM, Models of the short-rate d) Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians, etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.) e) Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation f) Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Mumbai

Quantitative Risk Role - Model Validation - BFSI 

Job Description for Quantitative Risk Role - Model Validation - BFSI  in Talent Networks in  Mumbai for (8-15) years of experience. Apply Now!