Associate - Model Risk Methodology - Investment Banking

Job Description

Role Description - Summary

The candidate will be responsible for running the Financial control processes for Model Risk and CVA/DVA. The candidate will also be responsible for completeness checks, reserve calculation, VCR reporting and communicating results to the appropriate stakeholders. The role also entails contributing to supporting business processes like quality assurance, regulatory compliance and other internal processes.

Responsibilities / Tasks : 

- Perform the Financial control processes for Model Risk and CVA/DVA for all the derivative products traded by DB across regions and across all asset classes. .

- Perform completeness checks and calculate model risk reserves for in-scope population.

- Produce and perform quality checks for testing process.

- Thoroughly understand the underlying financial and mathematical concepts, and make change / improvements, in consultation with other stakeholders, if situation warrants.

- Increase the process efficiency by automating manual steps in the processes. Co-ordinate with CTB to increase efficiency.

- Develop strong relationships with product control, risk management and quantitative departments on valuation and modeling issues.

- Significant involvement in ad-hoc projects / investigations and co-ordinate in the activities of the team.

- Ensure completion/adherence of activity as per standard procedure/key operating procedure.

- Escalate all issues in time, to the appropriate level, to avoid any adverse impact on the business.

- Ensure proper back-ups are created and assist other teams during contingencies (Staff shortage, high volumes etc). Create / modify / update the supporting documentation like KOP etc.

Experience

- 6-7 years in structuring, market risk, methodology, valuations or product control areas such as Risk/P&L

- Knowledge of the vanilla and exotic derivative products in any one asset class

- Knowledge of pricing models e.g. Black-Scholes, local volatility models and SABR/stochastic volatility models and their uses/limitations in pricing vanilla/exotic derivatives

- Experience in credit derivative pricing or risk management is a plus

- Experience with Bloomberg and Reuters in key markets data sets & using pricing functions.

- Strong experience with MS Excel financial functions and experience in writing VBA macros.

- Programming experience in Python, C, C++ etc and database query languages like SQL is a plus

Skills - 

- Needs to be a self-starter with significant ability to undertake initiatives. Strong interpersonal skills are required for this role. Follow through skills, Effective communication skills, ability to confidently handle internal clients, futuristic and innovative approach will be expected.