VP/SVP - Quantitative Finance Analyst - Counterparty Model Risk Management Team - IIT/NIT/ISI

Bank is looking for a quantitative finance analyst in the Counterparty Model Risk Management team. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling.

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

Responsibilities - 

- Validate XVA system models and feeder models of bank's counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.

- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated

- Perform independently 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.

Requirements:

- Education: Masters or Ph.D. degree in Statistics and/or Mathematics and/or Financial Mathematics and/or Economics, Physics etc

- Educational institutes:Top tier - IITs, NITs, Indian Statistical Institutes etc.

- Certifications (preferred but not mandatory): FRM, CFA etc.

- Experience Range: 9+ years

Mandatory skills:

- A minimum of 6 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 and probability theory, as well as derivative pricing and risk models

- Strong Written and Oral Communication

- Attention to details

- Willingness to learn

- Strong work ethic

- Team player

Desired skills:

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

- Experience in credit derivatives (such as CDS, CDO, Risky bond, CLN, etc.) is a plus

- Speaking / presentation skills in a professional setting

- Strong design patterns skills to design and architecture the tool

Work Timings: 11AM- 8 PM IST

Job Location: Mumbai / Gurugram