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Job Location | Mumbai City |
Education | Not Mentioned |
Salary | Not Disclosed |
Industry | IT - Software |
Functional Area | Risk / Underwriting |
EmploymentType | Full-time |
Corporate Model Risk Governance and Review Model Review Group Market Risk Capital VP/AssociateThe Model Review Group (MRG) carries out the independent review of models used across the firm. The group assesses and helps mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes.Model validation includes an evaluation of conceptual soundness; a critical assessment of the testing performed by model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose; designing and conducting experiments to evaluate the model s predictive power and its robustness to a range of market environments, and to identify significant sources of bias or uncertainty through the development and use of alternative benchmark models.MRG works closely with quants, Risk Management and Finance professionals, as well as other stakeholders from across the bank. Team members have opportunities for exposure to a variety of business areas.Core responsibilities
Keyskills :
marketrisknumericalanalysisarketRiskCapitalRiskGovernanceVaRprobabilitythestochasticprocessespartialdifferentialequations