Quant Model Validation Role - Investment Banking

The current position is in Risk Model Validation space. The models covered could range across

- Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

- Economic Risk Models

- Stress Testing

- Trading Winddown

Roles and Responsibilities

- Review internally and externally developed Risk Models across the below categories

- Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

- Economic Risk Models

- Stress Testing

- Trading Winddown

- Validations would include reviewing the theoretical assumptions and the implementation of the model e.g. setting up independent benchmarking tools for testing of various scenarios & boundary conditions for complex models.

- Model Risk Analysis

- Preparation of model review documentation

Qualification, Experience & Skills:

- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected

- Familiarity with econometrics or general statistics is desirable

- General financial products knowledge

In particular, we are looking for candidates with prior knowledge / experience in one or more of the following areas:

a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models

b. Stress Testing models

c. Interest Rate: Libor Market Model, HJM, Models of the short-rate

d. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

e. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

f. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)