Model Risk Management Role - Derivative Pricing - BFS

- Validate bank's pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage.

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

- Perform independent testing, scenario analysis and back-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, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.

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

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

 Mandatory skills:

- Minimum of 2 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, probability theory and time-series modeling

- Strong knowledge of financial instruments in one or more asset classes and financial risk management principles