Model Validation - Risk Mgmt - Inv Bank

Company : Leading Investment Bank

Location : Mumbai

JOB DESCRIPTION

Departmental overview:

- Model Validation is part of the Risk Management department. The team’s primary role is the independent validation of derivatives pricing models used by the Firm for valuation and risk calculation.

Key Deliverables:

Product valuation and VaR reviews typically include:

- Participation in interdepartmental working groups addressing modeling 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 models for comparison with those under validation

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

- Backtesting alternative models to evaluate and compare their performance with historical simulations

- Reviewing findings with colleagues in different groups: trading, front office model developers, price testing specialists, product controllers, risk managers

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

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

This team will initially specialize in some of the computationally intensive work that the team does, including

- Developing, maintaining and running test spreadsheets for complex derivative products

- Setting up and running historical back testing scenarios in spreadsheets and trading systems,

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

- Implementing numerical algorithms and helping to develop independent models in our C++ library

Qualifications:

- Candidates for the analyst role in the Model Validation team are expected to have a first 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 derivatives pricing and modeling issues is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of financial and derivative products and mathematics, from private study if they have not worked in the financial sector. Programming experience is required, ideally in C++.

- Candidates should be self-motivated, disciplined, task focused, able to structure their work and have a proven record of delivering high quality results to strict deadlines.

- They will need to take ownership of any tasks and see it through. Be a thinker and take proactive steps to improve process continually in order to take it to the next level

Please share your CV to somishah.g@gmail.com