Model Validation/Development Role - Market Risk - Bank

You will be working with the independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models across business functions, and development of challenger models as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. 

You will be expected to work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models. Your activities will include, but will not be limited to the following:

- End-to-end independent validation of market risk and regulatory models - VaR, SVaR, Expected Shortfall, RNiV, PFE, CVA

- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use

- Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines

- Development of benchmark models for derivatives valuation and sensitivity analysis.

- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques

- Prepare model validation report summarizing findings and provide recommendations

Minimum qualifications :

- Post-graduate degree / diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes

- Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1

- Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering or FRM / CQF Level 1

- 1-5 years- experience in Banking or Capital Markets, with experience in market risk reporting or model validation.

- Knowledge of VaR, Expected Shortfall or Counterparty Credit Risk modelling.

- Knowledge of product valuation in any of Fixed Income or Derivatives

- Knowledge of stochastic models such as Black Scholes, Hull & White, SABR etc) will be added advantage.

- Strong working knowledge of Excel, Python/R in this field.

- Good communication/presentation skills - written & verbal

- Self-driven, proactive, - can-do- attitude. Ability to work under ambiguity and with minimal supervision

Preferred qualifications :

- Strong networking, negotiation and influencing skills

- Some understanding and experience in at least one of the regulatory risk modeling/validation guidelines - SR 11-7, FRTB etc

- Exposure to any treasury system such as Murex, Calypso, FIS Adaptiv etc.