RSK-Model Validation Group Professional

Job description

Job Title: RSK-Model Validation Group Country: IN City: Mumbai Skill Category: Risk Description The current position is for a Risk Model Validator in Market Risk modelling space. The models covered could range across - Regulatory Capital Models (FRTB IMA and SA, Basel 2.5) - Internal Economic Risk Models - Stress Testing 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 Divisional Overview: 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 risk-return 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. - Market Risk Management - Credit Risk Management - Risk Methodology - Model Risk Management Business Unit Overview: Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for: - Executing and maintaining an effective Model Risk management framework. - Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite. - Independently validating the integrity and comprehensiveness of the Models in the Firm. Roles and Responsibilities: The current position is for a Risk Model Validator in Market Risk modelling space. The models covered could range across - Regulatory Capital Models (FRTB IMA and SA, Basel 2.5) - Internal Economic Risk Models - Stress Testing Mandatory Domain 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 Disclaimer: This job posting has been aggregated from external source. Role details, content, and availability are subject to change. Applicants are advised to confirm the latest information directly on the company website before applying.