AVP/VP - Quantitative Risk - Model Validation - Investment Bank

A leading Global Investment Bank is seeking for a AVP/VP (Model Validation)

Job Location : Mumbai (Prefer candidates from Mumbai only)

Responsibilities :

The primary function is to perform detailed validation of models from across the team's areas of responsibility, including Value at Risk (VaR), Credit Ratings, Credit Parameters, Counterparty Credit, Operational Risk and Economic Risk Capital (ERC) models.

Model validation reviews typically include:

- Participation in working groups addressing modelling issues and the model control environment

- Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model

- Developing independent modelling for comparison with that under validation

- Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches

- Back testing alternative models to evaluate and compare their performance using historical simulations

- Reviewing findings with colleagues in different groups including model developers, risk managers and traders

- Developing appropriate controls to mitigate for model risk and residual uncertainty

- Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implications

In conducting the reviews the analysts perform some computationally intensive work, including:

- Developing, maintaining and running test tools to investigate different aspects of the model

- Setting up and running historical back testing scenarios

- Generating, extracting and structuring risk and value data from Front Office systems

- Implementing numerical algorithms and automating testing processes in VBA and C++

Desired Candidate :

- Degree in mathematics, physics or engineering, and probably a Masters or PhD in one of those areas or finance.

- Experience in data management and analysis or in Front Office IT would be an advantage.

- Hands-on experience of risk and capital modelling, derivatives pricing and broader financial modelling is desirable.

- Candidates should be able to demonstrate an understanding of capital modelling, financial and derivative products and mathematics, from private study if they have not worked in the financial sector.

- Programming experience is advantageous.