Job Description
Your field of responsibilityAn outstanding opportunity to join the Trading Model Validation team within Model Risk Management (MRM), which has a mandate to review and approve the models used in the bank in order to make sure that the risk due to the model limitations and assumptions is properly managed and mitigated. The team is responsible for managing the validation and approval of Pricing models, Market risk and Counterparty credit risk models. The vacancy is for an ENO/AVP model validation quant focusing on validation of the Pricing, Market risk VaR and FRTB models for Credit businesses. As a model validator, you will perform validation reviews by yourself and supported by the other team members, covering the following:Review the mathematical foundation of the model, assessing the correctness of the model equations and theoryDevelop alternative benchmarks, design backtesting or other methodologies to test the conceptual soundness model assumptionsAssess if the model is implemented correctly, via independent re-implementation of the model in spreadsheets or coding language (Python, C#, F#, C )Test the model sensitivity to changes to the inputs and stabilityClear documentation of all testing, with follow ups for identified modelling issuesEngagement on modelling issues with model owners, market risk managers and model governance. Interaction with internal and external audit and regulatorsYou will have the chance to liaise with the other stakeholders within the Firm, including Front Office Quants, Trading, Market Risk, Product Control for the model validation process and for the approval of new trades.Your future colleaguesThe team is dedicated, hardworking and used to work independently as well as collaboratively. We work with a high level of integrity, attention to detail and look for a colleague who shares our passion and high standards.We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firms D&I ambition which is an integral part of our global cultural values.Remote Working? Yes This position offers remote working opportunities for an agreed amount of days per week.Your skills and experienceTo excel in this role, you should possess below:Experience in quantitative modelling as a model validator, front office quant or similar rolesBackground in quantitative topics, via Masters or PhD in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, EconomicsEmpirical and critical mind-set, and ability to look at problems in an original wayOutstanding attention to details as well as accurate and confident written and verbal communication skillsProgramming experience will be valuableHighly motivated and collaborate effectively, a practical approach to problem solving, ability to explain complex topics to a diverse range of audiences. Ability to manage work well under pressure
💡 Quick Summary
Seeking a career-building opportunity? The Credit Pricing and Market Risk Model Validation position is now open for candidates interested in the Bank Jobs sector. This role in Mumbai, Maharashtra offers a professional environment and growth potential.
Requirement Snapshot: Candidates should possess basic communication skills, a proactive attitude, and the ability to work in a team. Experience in Bank Jobs is a plus.
