AVP Sr Manager - Treasury Market Risk Model Validation with Large Private Bank

Job Purpose:

Independent review and validation of different derivative pricing models and Risk Models (both market risk and counterparty credit risk). Remain updated with different model governance and regulatory prescriptions. The team is part of Model Validation within Risk Research and Model validation team.

Job Responsibilities

Independent review and validation of different derivative pricing models and Risk Model (both market risk and counterparty credit risk) and logic defined for risk management.

• Perform validation of pricing models where you critically look at the proposed model analyze model suitability and its shortcomings quantify missing risk develop alternative models (whenever required) benchmark with industry practice model and make final judgement on the quality of the model.
• Perform validation of sensitivity analysis greeks for risk measurement (e.g. PV01 Convexity Delta Gamma Vega and other higher order sensitivity factor wherever applicable)
• Validate different risk metric model. e.g. VAR sVAR counterparty credit risk margin model HC model CVA model etc.
• Develop and maintain the programming library which is used for analysis of the models and for asserting of the accuracy of the implementation and usage of the model.
• Write high quality validation reports discuss your findings with colleagues front office quants and traders and senior management. Present your reports at the corresponding committees.
• Candidate would also be expected to evaluate the adequacy of theoretical framework assumption and model design. Conduct research as required and provide supporting materials (white papers/ RBI/EBA publications) to either support or reject a modelling framework
• Conduct scenario analysis sensitivity analysis and back testing analysis. The sensitivity analysis would include sensitivity of model results to changes in parameters and data inputs
• Assess limitations of model results for its intended use and adequacy of model documentation
• Perform adhoc analyses for acute business needs.
• Responding to RBI on any queries related to model validation and putting requisite process / controls in place
• Depending on the seniority mentor junior members in the team on various aspects related to model building model validation

Educational Qualifications

• Quantitative background. PostGraduation degree in Statistics/ Mathematics/ Physics/Quantitative finance from a respected institution. (e.g. ISI IIT BITs etc.)
• B.Tech./M.Tech. (Dual Degree) from IIT NITIE with Engineering/Statistics background preferably.
• Any certification in risk would be an added advantage

Key Skills

• Good knowledge of financial mathematics. You know the theory of stochastic calculus and derivative pricing and derivative risk management.
• Knowledge of Financial Markets and Instruments
• Understanding of the risk involved in various treasury products / financial instruments
• Knowledge of Excel Programming using VBA or any other Database management software
• Eagerness to explore and Interest towards Risk Management of Financial Products
• Candidates should have good knowledge on topics like Multidimensional data Time series data Multivariate statistics etc.
• Strong technical & analytical skills
• Strong written and verbal communication skills

Experience Required

• 35 years experience of working in Market Risk or Counterparty Credit Risk Analytics Market Risk or Derivative pricing model validation with at least 12 years experience in Model Validation.
• Exposure to banking/ investment banking is preferable.

model validation,market risk,counterparty risk,pricing models,treasury,analytics