Hiring For the role Model Validation, Derivatives Valuation Models

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, Model Validation, Derivatives Valuation Models.

In this role, you will be responsible for model development, implementation & documentation - for a BFS client in the US

Responsibilities

You will be working with the independent model validation function of a large banking client and will involve end-to-end validation of derivatives valuation and risk factor models; development of challenger models will be included as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. You will be expected to work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models. Your activities will include, but will not be limited to the following:

• End-to-end independent validation of the front office derivative valuation models, including exotic, complex and structured derivatives of various asset classes, e.g., EQ auto-callable accumulator / decumulator with barrier, FX average rate options (ARO), reverse convertible bonds, basket options, etc. and risk factor utility models, e.g., interest rate yield curve, local volatility, stochastic volatility surface, Black Scholes, Hull & White, SABR etc.
• Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use. Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines, such as, SR 11-7, SS 1/23 and E23.
• Development of benchmark models for derivatives valuation and sensitivity analysis.
• Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques.
• Prepare model validation report summarizing findings and provide recommendations
• Assessment of model risk current state and gaps for clients, along with recommendations to address the gaps
• Bring outside in views, and industry best practice knowledge to guide junior model validators and improve overall validation practice of the firm.

Qualifications we seek in you

Minimum qualifications

• PhD or master’s in physics, Mathematics, Statistics, Engineering, etc. with in-depth coursework, projects or research in numerical methods,

• 8+ years of experience in quantitative finance

  areas which involves in-depth work on model methodology, of which,

• 5+ years of model validation experience, of which,

• 3+ years of derivatives valuation / Greeks’ model validation

• Deep expertise in at least 2 of all asset classes, i.e., equity, interest rate, forex, commodities, etc. and good understanding of all asset classes; knowledge of Crypto will be valuable.
• Experience of regulatory

  models

  , like, VaR, SVaR, FRTB, SACCR, SIMM, CVA, SA CVA, etc. will be of added advantage but not a substitute of above-mentioned requirements.
• Hands on experience of simulations, finite difference method or other numerical methods in any programming language.
• Strong soft skills required: client communications, mentoring / coaching, technical solutions, identification of process improvement opportunities
• Self-driven, proactive, “can-do” attitude. Ability to work under ambiguity and with minimal supervision

Preferred qualifications

• FRM or CQF certification is a plus

Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube.