- Risk Management Specialist
- mthree in Bangalore, Karnataka, India
- jobs
- 1 week ago
jobs description
mthree is seeking a Model Validator (MRM) to join a highly regarded Multinational Investment Bank and Financial Services Company.
Job Description:
Position Title:
Model Validator (MRM)
Location:
Bengaluru, India (2/3 day per week in office)
Employment Type:
Full-Time
Some careers shine brighter than others.
If you’re looking for a career that will help you stand out, join the client, and fulfil your potential. Whether you want a career that could take you to the top, or simply take you in an exciting new direction, Client offers opportunities, support and rewards that will take you further.
Your career opportunity
Do you have analytical mind and like to solve quantitative problems? Can you extract statistical insights from the data? Would you like to work in an international and supportive environment, and to learn industry best practices in one of the world’s largest banks? Well, then your best match could be the Model Risk Management team! The Model Risk Management is an international team consisting of Model Risk Stewards,
Model Risk Governance and Model Validators. Model Validators is a specialist quantitative group, which aims at independently validating models. We are currently looking for a senior model validator to cover the pricing models area.
What you’ll do
Perform independent model validations as part of a specialist quantitative team within Clients Model Risk Management department;
We are looking for someone covering specifically pricing models and methodologies with a focus on FX, equity, interest rates, credit and structured products;
Assess the risks associated with model input data quality, model performance and usage. Review back-testing, sensitivity analysis, and stress testing to evaluate model performance;
Ensure models comply with regulatory requirements, such as SS1/23 guidelines, and internal model risk management policies;
Assess quantitative or expert-based models to identify risks associated with their assumptions and limitations. Formulate opinions about conceptual soundness of models’ design and their adequacy for intended usage. This includes quantification of model risk drivers and assessment of their impact on the
model credibility;
Work closely with model developers to understand and mitigate model risk.
What you need to have to succeed in this role
Academic degree (MSc or PhD) -- good fits are:
Mathematics, Quantitative Finance, Econometrics, Statistics, Physics, or related fields;
Professional qualifications (e.g., PRM, FRM, CQF) are beneficial;
Hands-on experience with validation of pricing models and methodologies;
Hands-on experience in any public or in-house developed pricing library. Development experience is a plus;
Good written and verbal communication skills in English;
Ability to present complex mathematical concepts and results to non-technical audiences in a persuasive and compelling manner;
Hands-on experience with Bloomberg terminal and LaTeX are beneficial;
Programming skills -- knowledge of Python is preferred, whereas knowledge of one of the following: R, Matlab, or C++ is a plus.