Senior Analyst/Associate/VP - Model Validation - Risk Models - BFS

Experience - 1 to 9 yrs

Positions - Sr Analyst / Associate / VP (Total- 2 Positions)

Candidate should be responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm

Key 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

Corporate Title - Analyst/Associate/VP

Functional Title - Analyst/Senior Analyst/Associate/Senior Associate/AVP/VP

Experience : 1-9 years

Qualification - Grad/PostGrad/Phd in a highly quantitative field

Role & 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

Skills:

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.)