Senior Associate - Model Validation/Risk Models

Description:

Key Objectives:

This role is for a Risk Model Validator specializing in Market Risk models. Responsibilities include validation and review of:

- Economic Risk Models

- Stress Testing Models

- Regulatory Capital Models (e.g., FRTB IMA and SA, Basel 2.5)

Key validation tasks include:

- Assessing conceptual soundness and model implementation

- Conducting Model Risk Analysis

- Preparing model review documentation

- Reviewing Model Performance Monitoring

- Conducting Periodic Model Reviews

Key Skills:

Mandatory:

- Strong understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo, Finite Difference), and proficiency in one or more programming languages

- Familiarity with econometrics or general statistics

- General knowledge of financial products

Prior knowledge or 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 Modeling: Libor Market Model, HJM, short-rate models

d. Equity Modeling: Pricing of exotic payoffs (Barriers, Lookback, Asians, etc.), Stochastic Volatility Models (Heston, Bates, etc.)

e. Credit Modeling: Pricing of credit derivatives (CDO, Credit Index Options, etc.), CVA calculation

f. FX Modeling: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos, etc.)

Core Competencies:

- Culture & Conduct: Contributes to a positive culture, demonstrates professionalism, integrity, and self-awareness

- Client-Centricity & Business Acumen: Understands market trends, anticipates client needs, pays attention to detail, and applies analytical thinking to solve problems

- Strategy & Innovation: Thinks strategically, balances alternative views, makes sound decisions, and champions new ideas

- Leadership & Collaboration: Manages talent effectively, collaborates across teams, resolves conflicts, and supports development of others

- Communication & Influence: Communicates clearly and effectively, adapts style to audience, builds strong networks, and influences outcomes

- Execution & Delivery: Drives performance, executes priorities on time, manages stakeholder expectations, and demonstrates accountability