AddressModel Validation - Quantitative Risk Management (Senior Analyst / Associate) (Mumbai)
Job Location - Mumbai Powai
Corporate Title - Senior Analyst/Associate
Experience - 2 - 6 years
Qualification Grad/PostGrad with a strong degree in quantitative/ engineering domain or PGDM Finance
Business Unit Overview:
Model Validation:
- The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models, Valuation Models, IPV models, Liquidity models and Algo trading models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm's Model Risk Appetite and escalates model approval breaches.
Valuation Control Model Validation Group (VCMVG):
- The Valuation Control Model Validation Group within Model Validation is the team that analyses, reviews & validates the models developed within the Valuation Control division. This group assesses the integrity and suitability of the Model parameters including calibrated and unobservable parameters, perform implementation testing and highlight any model risks. This group is also responsible to determine an appropriate classification for Model Risk Rating.
- The outcome of the model review must be discussed and agreed with the Model Owners, who are primarily Global and Regional Heads of Valuations.
- The current opening is for a quant in the VCMVG group. Additionally, the role also gives opportunity to develop additional into validation of derivative pricing and hedging models developed by Front Office (e.g. Libor Market Model, Local Volatility and Stochastic Volatility modelling approaches
Role & Responsibilities:
- Review internally and externally developed Valuation Control models (with additional opportunity to start working on Front Office derivative pricing models)
- Ensure that the model meets its stated objective and intended use.
Perform Model Validation which would include:
- Development of tools for Implementation testing to ensure that the production model is consistent with its theoretical basis
- Assessment of the integrity and suitability of Model parameters
- Analysis of Model Assumptions and quantification of model Risk
- Preparation of Model Validation documentation
- Ability to communicate with regional stakeholders and senior management
- Ability to work effectively on multiple projects across model types
Mandatory Skills:
- Prior Model development or Model validation experience preferably in Derivative Pricing Models(e.g. Libor Market Model, Heston, Local Volatility) or Valuation Control Models or Risk Models (e.g. VaR/Counterparty Exposure)
- Strong preference for prior understanding of stochastic calculus
- Good understanding of derivative products and their risk profile
- Good understanding of derivative pricing
- Advanced working knowledge of MS Excel and VBA with competency in one of the programming languages like Python
