Senior Associate/AVP - Quantitative Risk Management/Model Validation - Bank

ROLE:

Our client, a leading global bank, is looking for Sr Associate/ AVP- Quantitative Risk Management - Model Validation for its offices in Mumbai. The role is aligned with the Model Validation team responsible for validating the Risk Models and Valuation Models, develops measures of Model Risk, monitoring Model Risk and escalates model approval breaches

RESPONSIBILITIES:

Responsibilities include reviewing the models like Risk and Stress Testing models, reviewing the theoretical assumptions and the implementation of the model, setting up independent benchmarking tools for testing, Model Risk Analysis, model review documentation, validation of risk models (counterparty exposure, VaR etc) and/or validation of stress testing models for capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.

REQUIREMENTS:

Prospective candidate should come with 6 to 8 years- experience in the Libor market model, models of the short-rate, pricing of exotic payoffs (Barriers, Lookback, Asians etc.), Stochastic Volatility models for pricing, equity derivatives (Heston, Bates etc.), Pricing of credit derivatives (CDO, Credit Index Options etc), CVA calculation, pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.), Value at Risk, Counterparty Risk Exposure models, Stress Testing models. Also, understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) with Ph.D./MTech/BTech/BE in a numerate field