Validate bank’s pricing/margin/risk models developed by Quantitative Strategy Group and Global Risk Analytics for Credit derivatives.
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 Top tier – IITs, NITs, Indian Statistical Institutes etc.
Certifications (preferred but not mandatory): FRM, CFA etc.
Experience Range: 5-7 years
Foundational skills:
Strong Quantitative skills –
In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models
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 credit derivatives (such as CDS, CDO, Risky bond, CLN, etc.) is a plus
Speaking / presentation skills in a professional setting
Strong design patterns skills to design and architecture the tool