Validate bank’s pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics for Rates and FX derivatives.
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
Perform independent testing, scenario analysis and back-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, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.
Educational institutes: Top tier – IITs, NITs, Indian Statistical Institutes, IIMs etc.
Certifications (preferred but not mandatory): FRM, CFA etc.
Experience Range: 5 – 7 years
Foundational skills:
Minimum of 2 or more years of experience in the quantitative modeling and/or validation field
Strong Quantitative skills –
In depth understanding of financial mathematics including stochastic calculus, probability theory and time-series modeling
Strong knowledge of financial instruments in one or more asset classes and financial risk management principles
Knowledge of complex OTC derivative products and underlying risks
Strong Written and Oral Communication
Ability to follow up with issues and summarize discussions
Ability to communicate clearly, effectively, and work well with people at all levels
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
Experience in LaTeX
Speaking / presentation skills in a professional setting