Model Validation Senior Specialist- Derivative Pricing, AVP

Model Risk Managements mission is to manage, independently and actively, model risk globally in line with the bank's 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;
• Creating bank-wide Market Risk policies

Your key responsibilities

• The role is to independently review and analyse derivative models for pricing and risk management across Rates, FX and Hybrids.
• 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.

Your skills and experience

• 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 a high level language primarily Python.
• Excellent communication skills both written and oral.
• Overall 5-8 years of experience in model development, market risk or model validation.

Education/Qualifications

• Academic degree in a quantitative discipline (e.g. Mathematical Finance / Statistics, Maths, Physics, Engineering) with a focus on application.