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RSK-Model Validation Group Professional

RSK-Model Validation Group Professional

Nomura

3 - 7 years

5 - 9 Lacs

mumbai

Posted:2 days ago| Platform:

Apply

Skills Required

wealth management market risk investment banking investment management risk management econometrics information technology operations financial services recruitment

Work Mode

Work from Office

Job Type

Full Time

Job Description

The Risk Management Division encompasses the firms comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firms riskreturn profile which ensures the efficient deployment of the firms capital. It is one of the firms core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises:

Market Risk Management
Credit Risk Management
Risk Methodology
Model Risk Management

Business Overview:

Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for:

(1) Executing and maintaining an effective Model Risk management framework.

(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.

(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.

What We Offer:

We support employee wellbeing by ensuring a sense of purpose and belonging.
We offer a comprehensive range of wellbeing services which allows employees to get access to the assistance they need at any point in their wellbeing journey.
Our bespoke benefits support employees and their family s holistic wellbeing and are inclusive of diverse identities and family structures.

Position Specifications:

Corporate Title

Associate

Functional Title

Associate/Senior Associate/AVP

Experience

3-7 years

Qualification

Grad/PostGrad/Phd in a highly quantitative field

Role & Responsibilities

The current position is for a Risk Model Validator in Market Risk modelling space. The models covered could range across

Economic Risk Models
Stress Testing
Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)

Validation tasks would include reviewing the

Conceptual soundness and the implementation of the model
Model Risk Analysis
Preparation of model review documentation
Review of Model Performance Monitoring
Periodic Reviews of Models

Qualification, Experience & Skills:

Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
Familiarity with econometrics or general statistics is desirable
General financial products knowledge
We are looking for candidates with prior knowledge / experience in one or more of the following areas:

a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models

b. Stress Testing models

c. Interest Rate: Libor Market Model, HJM, Models of the shortrate

d. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

e. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

f. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

*The benefits are subject to change and will be in accordance with Company s policies as may be applicable from time to time).

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RSK-Model Validation Group Professional