VP - Quantitative Risk Management - Model Validation - Investment Bank

We have an urgent opening for VP- Model Validation for leading Investment Bank based in Mumbai.

Business Unit Overview:

Quantitative Risk Management- Model Validation:

The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations. The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for a particular asset classes / product group.

Position Specifications:

Corporate Title : VP

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

Role & Responsibilities:

Key Skills:

- The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations.

- The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for particular asset classes / product groups.

- Performing in depth model reviews

- Preparation of model review documentation

- Model Risk Analysis

- Assistance to the Quantitative Risk Management team on ad- hoc projects

- Review models (pricing models and / or risk models): Ensure that the model meets its stated objective.

- This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent bench marking tools for testing of various scenarios & boundary conditions of complex models.

- The current role will specifically look into following areas

- Approval of model enhancements of the existing CVA model and also in Credit Derivatives models

- Re-approvals and continuous model performance monitoring of CVA and Credit models

- Monthly calculation of model reserves for CVA

- Trade approvals for credit hybrids, based on credit specific considerations (e.g. rate-credit correlations)

- Supporting finance in calculating model reserves for Wrong Way Risk

Mandatory Domain

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.

- In particular, depending on asset class, we are looking for candidates with knowledge / experience in one or more of the following areas:

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

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

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

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

e. Risk Models: Value at Risk, C

If you find it is suitable then please send me your updated CV with below detail or provide me a reference .

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Handling a team of :

Tejashree Waradkar
Team Leader
Black Turtle.
Dir No: +91 22 66848548|Mob No .8454843560