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Job Id: 479
Job Title: Model Validation
Industry: Banking, Financial Servcies & Insurance
Functional Area: Analytics & Business Intelligence
Salary: 25 Lac - 35 Lac
Job Location: Mumbai
About the Client

The Clienti s a Global Imvestment Bank headquartered in Europe. It has four divisions: Investment Banking, Private Banking, Asset Management, and a Shared Services Group that provides marketing and support to the other three divisions.

It is a member of Wall Street's bulge bracket, a list of less than a dozen of the largest and most profitable banks. The company has been identified as one of the world's most important banks, upon which international financial stability depends. The bank is also one of Fortune Magazine's most admired companies.

Job Description

This opportunity is for a quantitative analyst role within the Model Risk Management team. The primary function is to perform detailed validation of models from across the team’s areas of responsibility, including Value at Risk (VaR), Credit Ratings, Credit Parameters, Counterparty Credit, Operational Risk and Economic Risk Capital (ERC) models. Team members will have the opportunity to diversify to broader analysis of model risk and any new modelling techniques that might result from specific regulatory requirements

 

Validation projects investigate all aspects of the models, covering their assumptions regarding the behaviour of different asset classes, performance over different time scales, treatment of different products and risk types and their aggregation and use in the risk capital calculations.

Model validation reviews typically include:
1. Participation in working groups addressing modelling issues and the model control environment
2. Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model
3. Developing independent modelling for comparison with that under validation
4. Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches
5. Backtesting alternative models to evaluate and compare their performance using historical simulations
6. Reviewing findings with colleagues in different groups including model developers, risk managers and traders
7. Developing appropriate controls to mitigate for model risk and residual uncertainty
8. Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implications

In conducting the reviews the analysts perform some computationally intensive work, including:
1. Developing, maintaining and running test tools to investigate different aspects of the model
2. Setting up and running historical backtesting scenarios
3. Generating, extracting and structuring risk and value data from Front Office systems
4. Implementing numerical algorithms and automating testing processes in VBA and C++

Desired Candidate Profile

Candidates for the analyst role in the Model Risk Management team are expected to have a first degree in mathematics, physics or engineering, and probably a Masters or PhD in one of those areas or finance. Experience in data management and analysis or in Front Office IT would be an advantage.

Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics, from private study if they have not worked in the financial sector. Programming experience is advantageous.

Candidates should be self-motivated, disciplined, task focused, able to structure their work and have a proven record of delivering high quality results to strict deadlines.

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