Our Client a leading Global Bank in Mumbai is looking for a Associate / Sr. Associate for its Model Risk Management function covering E-
Trading across all asset classes, in charge of developing model risk policy and control procedures, performing model validation activities, providing guidance on a models appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations
Core Responsibilities :
Engage in new model validation activities for all E-Trading models in the coverage area - evaluate conceptual soundness of model specification;
reasonableness of assumptions and reliability of inputs; fit for purpose; completeness of testing performed to support the correctness of the implementation;
robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
Conduct independent testing
Perform additional model review activities ranging from proposed enhancements to existing models, extensions to scope of existing models.
Liaise with Trading Desk, Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing
Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact
Essential skills, experience, and qualifications :
Strong quantitative background based on a PhD or Masters Degree (or equivalent) in a quantitative discipline such as Math, Statistics, Science, Economics, Engineering, Math Finance.
Domain expertise in following areas : Expertise in Statistics, Math Finance, Machine Learning.
Knowledge and experience in algorithmic trading / market making strategies such as transaction cost analysis, dark order execution, order placement, price signals.
Derivatives pricing knowledge is an asset.
Experience in one or more of the following asset classes : Interest Rate / Credit / Equity / FX / Commodity.
Prior experience in following backgrounds (1-2 years) : Quantitative Model Development, Model Validation, Trading or Technology focused on E-
Trading including automated execution / market-making algorithms.
Salary : Not Disclosed by Recruiter
Industry : Banking / Financial Services / Broking
Functional Area : Financial Services, Banking, Investments, Insurance
Role Category : Financial Services / Stock Broking
financeequityfxmodel validationrisk managementrisk controlmachine learningstrategy makingperformance testingElectronic Trading
Desired Candidate Profile
Please refer to the Job description above