Validate bank’s market risk models developed by Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk models.
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
Perform independently testing to identify/quantify model risk associated with the model being validated
Prepare validation report and technical documents for the model being validated
Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.
Requirements:
Education: Masters or Ph.D. degree in Statistics and/or Mathematics and/or Financial Mathematics and/or Economics, Physics etc
Educational institutes: Top tier – IITs, NITs, Indian Statistical Institutes etc.
Certifications (preferred but not mandatory): FRM, CFA etc.
Experience Range: 5-7 years
Foundational skills:
Strong Experience in the quantitative modeling and/or validation field
Strong Quantitative skills
Strong knowledge of financial, mathematical and statistical theories and practices, and a deep understanding of the modeling process, model performance measures, and model risk. Knowledge on derivative pricing and risk models is preferred. Strong Written and Oral Communication
Attention to details
Willingness to learn
Strong work ethic
Team player
Desired skills:
Strong coding ability in Python, C++ or R is a plus
Experience in derivatives pricing/risk models in one or more asset classes is a plus
Speaking / presentation skills in a professional setting
Strong design patterns skills to design and architecture the tool