Background on the Position

Our Model Risk Management (MRM) department resides within our Firm Risk Management Division. Our global MRM team, spread across New York, London, Mumbai and Budapest is broadly responsible for the risk management of all of the Firm's models involving model validation risk assessment, and governance and act as an effective second line of defence within the Firm.

We are seeking a strong candidate to be a member of the MRM team in Mumbai, focused on the review, validation and risk assessment of models including, but not limited to XVA pricing.

Primary Responsibilities:

The primary responsibilities of the role include, but are not limited to the following:

- Provide independent review and validation for XVA pricing compliant with MRM policies and procedures, regulatory guidance and industry leading practices, including evaluating conceptual soundness, quality of model methodology, model limitations, data quality, and on-going monitoring of model performance

- Take initiatives and responsibility of end-to-end delivery of a stream of Model Validation and related Risk Management deliverables

- Write Model Review findings in validation documents that could be used for presentations both internally (model developers, business unit managers, Audit, various global Committees)

- Verbally communicate results and debate issues, challenges and methodologies with internal audiences including senior management

- Represent MRM team in interactions with regulatory and audit agencies as and when required

- Follow financial markets & business trends on a frequent basis to enhance the quality of Model Validation and related Risk Management deliverables.

Qualifications:

Skills required (essential / preferred)

- Masters or Doctorate degree in a quantitative discipline such as Statistics, Mathematics, Physics, Computer Science or Engineering is essential

- Experience in a Quant role in validation of Models, in developments of Models or in a technical role in Financial institutions e.g. Developer, is essential

- Strong written & verbal communication skills including debating different viewpoints and making formal presentations of complex topics to a wider audience is preferred

- 9 + years of relevant work experience in a Model Validation role in a bank or financial institution

- Proficient programmer in Python ; knowledge of other programming languages like R, Scala, MATLAB etc. is preferred

- Willingness to learn new and complex topics and adapt oneself (continuous learning) is preferred

- Working knowledge of statistical techniques, quantitative finance and programming is essential; good understanding of various complex financial instruments is preferred

- Knowledge of popular machine learning techniques is preferred

- Relevant professional certifications like CQF, CFA or progress made towards it are preferred

- Desire to work in a dynamic, team-oriented, fast-paced environment focusing on challenging tasks mixing fundamental, quantitative, and market-oriented knowledge and skills is essential