Associate MGG CIB Interest Rate Models
Mumbai City
2d ago
source :

Financial Institutions routinely use models for a broad range of activities including analyzing business strategies informing business decisions identifying and measuring risk valuing exposures or instruments hedging derivative positions conducting stress testing assessing capital adequacy managing clients assets informing investment process measuring compliance with internal limits maintaining the formal control apparatus of the bank meeting financial or regulatory reporting requirements and issuing public disclosures Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports leading to financial loss poor business decision making or reputational damage As part of the firm s model risk management function the Model Governance Group MGG is charged with developing model risk policy and control procedures performing model validation activities providing guidance on a model s 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 The successful candidate will focus on the following activities Perform assessments of the conceptual soundness of model specification the appropriateness of the methodology for its intended purpose reasonableness of assumptions and reliability of inputsAssess completeness of testing performed to support the correctness of the implementationAssist with model identification process assessing whether newly identified methodologies should be in scope of the model risk policyWork with model developers and model users across the firm to understand methodology and usageLiaise with other Model Governance groups in relevant coverage areas across the firm Essential skills experience and qualifications The successful candidate will have the following skills experience and qualifications Quantitative background ideally with a Master s degree in Maths Science Engineering Statistics Quant Finance etc Strong quantitative analytical and problem solving skills knowledge of probability theory statistics mathematical finance econometrics numerical methods Knowledge of MortgageBacked Securities and statistical modelling Knowledge of finance industry particularly in modeling valuation risk capital forecasting investment management Experience in model validation and or model development preferred Strong communication and interpersonal skills Strong project management and organizational skills ability to multitask and meet deadlines Ability to work independently with remote supervision Risk and control mindset ability to ask incisive questions assess materiality and escalate issues

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