Vice President - CCAR Model Validation - BFSI

Job Description

Designation : VP CCAR Model Validation

Location: Mumbai Goregaon

Shift Time: 1pm to 10pm (dropping facility is available)

Experience: 10-15yrs

CTC: 30 -40LPA

Job Description:

Manage a local team of model validation quants for derivative pricing models for Trading and Hedges. This position requires strong derivative pricing skills as the successful candidate should be a thought leader and be able to drive content and standards for his or her team. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls.

The successful candidate will be able to allocate resources as needed to meet a challenging and fast-paced environment that covers all asset classes in capital markets (equity, commodity, rates, etc.)

Job Responsibilities:

Manage a team of model validation quants for derivative pricing

Manage model risk across the model lifecycle including model validation, ongoing performance evaluation, and annual model reviews

Represent the bank in interactions with regulatory agencies, as required

Present model validation findings to senior validators and various model risk management stakeholders

Provide effective challenge to model assumptions, mathematical formulation, and implementation

Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls

Contribute to strategic, cross-functional initiatives within MRM organization

Qualifications

Desired Educational Qualification, Skills, Experience and Characteristics

Minimum of a Master\'s degree in a quantitative field (physics, mathematics, computer science, etc.)

Experience in developing or validating derivative pricing models

Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python)

Strong communication skills with the ability to find practical solutions to challenging problems

Strong leadership skills to build and manage a highly productive team

Team work and commitment a must

Prerna
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