Model Validation - Market risk Models

Description :

We are hiring for a leading Investment bank based at Mumbai

Experience :

5-9 yrs in Model Development/Model Validation for financial Services with good Python programming skills

Education : Masters / MBA; in Economics, Mathematics, Statistics, Finance, Computer science From Tier 1 with good knowledge inEquity pricing models.

Responsibilities:

• Conduct independent validation of market risk models across major asset classes including Interest Rates, Foreign Exchange, Inflation, Equities, Commodities, Credit, and Mortgages, covering methodologies such as VaR, RNIV, IRC/CRM, FRTB, Stress Testing, and CCAR.
• Assess model conceptual soundness and regulatory compliance through comprehensive review of model assumptions, methodology, mathematical framework, empirical evidence, data quality, implementation, limitations, and intended use.
• Design and execute independent challenger analyses and testing, including benchmarking, sensitivity analysis, stress testing, back-testing, outcome analysis, and quantitative assessments to identify, measure, and articulate model risks.
• Evaluate model governance and controls in alignment with the Bank's Model Risk Management framework and regulatory expectations, including SR 11-7 and SR 26-2 guidance.
• Prepare high-quality validation reports and technical documentation that clearly communicate validation findings, model limitations, risk assessments, recommendations, and approval decisions to senior stakeholders and governance committees.
• Partner with key stakeholders across Front Office, Global Risk Analytics (GRA), Market Risk, Finance/PVG, Audit, and other control functions to provide effective challenge, discuss validation outcomes, and establish appropriate compensating controls and remediation plans.

Goode Knowledge in Python