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| Job Location | Mumbai City |
| Education | Not Mentioned |
| Salary | Not Disclosed |
| Industry | Recruitment Services |
| Functional Area | Sector / Business Research |
| EmploymentType | Full-time |
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 requirementsValidation 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 environment2. Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model3. Developing independent modelling for comparison with that under validation4. Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches5. Backtesting alternative models to evaluate and compare their performance using historical simulations6. Reviewing findings with colleagues in different groups including model developers, risk managers and traders7. Developing appropriate controls to mitigate for model risk and residual uncertainty8. Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implicationsIn conducting the reviews the analysts perform some computationally intensive work, including:1. Developing, maintaining and running test tools to investigate different aspects of the model2. Setting up and running historical backtesting scenarios3. Generating, extracting and structuring risk and value data from Front Office systems4. Implementing numerical algorithms and automating testing processes in VBA and C++Desired Candidate Profile
Keyskills :
risk managementretail analyticstesting managementfinancial services validationstructuring