Associate

Nomura; Mumbai; On-site; INR 1,200,000 - 1,800,000; Full time

Benefits offered by this job

Comprehensive wellbeing services

Support for diverse employee needs

Job summary

A global financial services firm is seeking a Risk Model Validator with 2-5 years of experience in market risk modelling. The ideal candidate will be skilled in validating models across various risk domains, particularly in FRTB IMA and SA frameworks. A strong background in quantitative fields, alongside proficiency in programming languages like Python and SQL, is essential. Key responsibilities include engaging with stakeholders for model validation and ensuring compliance with regulatory standards. Competitive compensation and a supportive work environment are offered.

Qualifications

• 2-5 years of experience in market risk modelling.
• Comprehensive understanding of financial products like options and futures.

Responsibilities

• Validate models across market and counterparty risk domain.
• Review model performance monitoring and documentation.
• Engage with stakeholders for model approval processes.

Skills

Advanced Quantitative Expertise

Cross-Functional Interaction Skills

Basic understanding of stochastic calculus

Good mathematical applications for calculus

Comfort level with programming languages

Education

Grad/PostGrad/Phd in a highly quantitative field

Tools

Python

SQL

Job description

What We Offer:

• We support employee wellbeing by ensuring a sense of purpose and belonging.
• We offer a comprehensive range of wellbeing services which allows employees to get access to the assistance they need at any point in their wellbeing journey.
• Our bespoke benefits support employees and their family s holistic wellbeing and are inclusive of diverse identities and family structures.

The current position is for a Risk Model Validator in Market Risk modelling space. The candidate would be exposed to the below:

• Advanced Quantitative Expertise: Gain deep exposure to risk modeling techniques
• Comprehensive Market Risk Domain Knowledge: Develop expertise across major asset classes (Equity, FX, Credit, Commodities, Interest Rates) with handson experience in validating models across market and counterparty risk domain
• Regulatory & Model Validation Excellence: Build specialized knowledge in FRTB IMA & SA validation and interaction with various stakeholders on model approval processes
• CrossFunctional Interaction Skills: Collaboration with risk methodology quants, risk managers, risk change and Risk IT teams for carrying out validation activities

Experience

2-5 years

Qualification

Grad/PostGrad/Phd in a highly quantitative field

Requisition No.

12705

Role & Responsibilities

The current position is for a Risk Model Validator in Market Risk modelling space. Depending on the Book of Work, the models covered could range across

• FRTB IMA and SA
• Economic Risk Models
• Stress Testing
• B 2.5 Reg Cap

Validation tasks would include reviewing the

• Conceptual soundness and the implementation of the model
• Model Risk Analysis
• Preparation of model review documentation
• Review of Model Performance Monitoring
• Periodic Reviews of Models

Mind Set

Mandatory

Desired

Domain

• General financial products knowledge like options, futures and bonds
• Risk Models: Value at Risk, Stress VaR concepts, Backtesting VaR
• Understanding of derivative s greeks and pnl calculation methodologies
• Risk Neutral Option pricing fundamentals
• Pricing of vanilla options for equity, FX and credit asset classes
• Understanding of model risk management standard, policy & procedures along with endtoend model validation processes.
• Counterparty Risk Exposure models, Margin Models
• Stress Testing models
• Interest Rate: Libor Market Model, HJM, Models of the short rate
• Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility
• Models for pricing exotic Equity Derivatives (Heston, Bates etc.)
• Credit: Pricing of Credit Index Options etc, CVA calculation
• FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Technical

• Basic understanding of stochastic calculus, statistics
• Good mathematical applications for calculus, linear algebra and probability
• Numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)
• Comfort level with one or more programming languages, preferably python
• Familiarity with endtoend development for model validation implementation testing and model risk analysis using SQL, Python, Python Flask, Java.
• Hands on experience with advanced libraries (preferably python) used for pricing simulationbased products and multivariate regression