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| Job Location | Mumbai City |
| Education | Not Mentioned |
| Salary | Not Disclosed |
| Industry | Recruitment Services |
| Functional Area | Sales / BD |
| EmploymentType | Full-time |
Model Risk Managements mission is to manage, independently and actively, model risk globally in line with the banks risk appetite with responsibility for:- Performing robust independent model validation;- Ensuring early and proactive identification of Model Risks;- Designing and recommending Model Risk Appetite;- Effectively managing and mitigating Model Risks;- Establishing Model Risk metrics;- Designing and implementing a strong Model Risk Management and governance framework.- The role is to independently review and analyse derivative models for pricing and risk management.- The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London and Berlin to produce, analyse and document validation testing. - Reviews and analysis require a good understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks. - The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers.- Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.- Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience.- Experience coding in C++/Python an advantage.- Academic degree in a quantitative discipline (e.g. Mathematical Finance / Statistics, Maths, Physics) with a focus on application- Excellent communication skills - both written and oral.,
Keyskills :
partial differential equationsmarket riskfront officerisk metricsmusic makingrisk managementmodel validationfinancial marketsfinite differencestochastic calculus