Job Location: Bangalore/Bengaluru
Job summary:
Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
As part of the firms model risk management function, the Model Governance Group (MGG) is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a models appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.
Core responsibilities:
The successful candidate will be a member of the MGG Group covering Credit Portfolio Group/ Credit Risk Margining team, and will focus on the following activities:
- Engage in new model validation activities for a subset of models in the coverage area (CCR pricing models, Margining models, xVA models)
- Perform assessments of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs
- Assess completeness of testing performed to support the correctness of the implementation
- Perform Ongoing Performance Monitoring tests and regulatory/non-regulatory backtesting to ascertain that models are relevant and fit for purpose.
- Assist with model governance processes, model inventory and issue management and help to devise new model governance policies as when required.
- Work closely with model developers and model users across the firm to understand methodology and usage
- Liaise with other Model Governance groups in relevant coverage areas across the firm
Essential skills, experience, and qualifications:
The successful candidate will have the following skills, experience, and qualifications:
- Quantitative background with at least a Master’s degree in Maths, Science, Engineering, Statistics, Quant Finance etc
Strong quantitative, analytical, and problem solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods. Knowledge of stochastic calculus would be a strong plus.
- 1-3 years of relevant quantitative experience at a similar bank/asset management analytics setup.
- Knowledge of finance industry, particularly in modeling- valuation, risk, capital, forecasting, investment management
- Domain expertize in XVA (CVA, DVA, FVA, KVA) would be a strong plus
- Experience in model validation and/or model development preferred
- Strong communication and interpersonal skills
- Strong project management and organizational skills; ability to multi-task and meet deadlines
- Ability to work independently, with remote supervision
- Risk and control mindset: ability to ask incisive questions, assess materiality and escalate issues
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