Senior Associate/AVP - Model Validation Group - Bank

WWe are hiring for top-notch banking financials in India.

Role : Model validation, quant, risk modelling

Experience: 2+ years

Location: Mumbai / Bangalore

Here's the JD, Please let me know if you have any query:

Role & Responsibilities:

Key Skills:

The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations.

- The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for particular asset classes / product groups.

- Performing in depth model reviews

- Preparation of model review documentation

- Model Risk Analysis

- Assistance to the Quantitative Risk Management team on ad- hoc projects

- Review models (pricing models and / or risk models): Ensure that the model meets its stated objective.

- This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

- The current role will specifically look into following areas

- Approval of credit derivatives, credit hybrids and CVA models

- Approval of variable annuity pricing models (IR FX hybrid derivatives with insurance risk)

- Re-approvals and continuous model performance monitoring of CVA, Credit and variable annuity models

- Trade approvals for credit hybrids, based on credit specific considerations (e.g. rate credit correlations) Regards

Mandatory Domain

Qualification, Experience & 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.

- In particular, candidate should have worked on derivative modelling/validation in at least one of the below asset class:

a. Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate b. Equity e.g. Pricing of Exotic Payoffs (like Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.) c. Credit e.g. Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation d. FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.) e. Risk Models e.g. Value at Risk, Counterparty Risk Exposure models

If you are interested in this opening, kindly revert me on the same with your updated CV and following details:

Current Company -

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Current CTC - (fixed) + (variable)

Expected CTC -

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Relevant Experience-

Reason for change -

DOB -

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Shivangi Sharma