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AVP/VP - Quant Model Validation/Audit - Global Bank
About Our Client
Our client is one of the largest Global Banks with demonstrated strengths in both Commercial and Retail Banking. They are in the process of setting up a new global team that would be responsible for carrying out model audits for over 3000 models at a global level and are looking to hire seasoned professionals that have a solid background in risk modeling.
Reporting in to the Head of Model Audit, some of your key responsibilities will be:-
- Act as a Functional and Thought Leader to a team, you would be responsible for carrying out model audits across all the Market Risk/Quantitative Models
- Essay an instrumental role in the establishment of a new centralized team in Mumbai that will have a transformational impact on model development and model monitoring, and glean insights from the entire suite of products across the Portfolio
- Overall responsibility for a 'health check' of all model developments, and/or changes to existing Models and related infrastructure
- Provide continuous support to other functional teams across Credit and Market Risk teams globally
- Assume the role of 'the Face of the Bank' with International Banking regulators
- Support the implementation of Credit Risk Models
- Leading Senior People and addressing senior strategic organizational issues
The Successful Applicant
As the successful applicant, you will:-
- You are a PHD or Master's in Statistics / Economics/ Mathematics/ Science or any other quantitative discipline from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 7 years (AVP)/12 years (VP) of experience in the Market Risk/quant domain
- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred
- Broad knowledge of financial markets, financial mathematics, industry best practice risk modelling methodologies, knowledge of financial products (FI, FX, commodities, equities, derivatives), their pricing models and a basic knowledge of stochastic calculus, statistics and numerical resolution methods.
- Essential skills include the ability to develop models in C++ or Matlab environment
- Strong knowledge of quantitative models (multi-curve framework, interest rate models and volatility, commodities and credit derivatives).
- Hands-on experience with model implementations using Monte Carlo simulation, tree method and finite difference method.
- Advanced mathematical skills and previous experience working as a quant with financial quantitative modelling and risk analytics.
What's on Offer
Excellent Opportunity to work with in a senior leadership role with one of the largest Global Banks