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Director - Quant Risk Model Review - Global Investment Bank
- Newly Created Role
- Critical Role
About Our Client
Our client is one of the largest Global Banks with demonstrated strengths in the Investment Banking domain. They are looking at expanding their business in India by creating new team from scratch. They are looking for a seasoned professional having solid exposure in the market risk model validation domain to spearhead this new team being created.
Reporting into the Global Market Risk Lead, you would be responsible for setting up the market risk model validation & review function from scratch. The primary objective of this function would be to support the global activities of the Market Risk Model Validation & Governance team.
Your key responsibilities shall include:
- Setup and lead a team of 10-15 members in Mumbai to support the global desks including training & knowledge management
- Independent quantitative evaluation of complex and technical models, focusing on back-testing and benchmarking and would cover methodology, construction and testing of models
- Establish and maintain a strong, vigorous model validation and review process to help the firm identify and manage model risk.
- Improve the current products/models with a special emphasis on valuation and risk management.
- Define the methodology for a complete and consistent risk capture in conjunction with Front Office and other Risk & Control functions.
- Assist senior management building a clear view on the valuation model risk within the Group
The Successful Applicant
- 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 12 years 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 work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation