Risk- Model review Goverance Review- Analyst
Aumni
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Mumbai, India
Job Description:
As part of the firm’s model risk management function, the Model Risk Governance and Review group 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.
As a Quant Modelling Analyst you will be a member of the Model Risk Governance and Review group in Mumbai covering Market Risk models where you will have exposure to multiple assets classes, advanced modelling methodologies as well as day-to-day interaction with Quantitative Research teams and other Risk Functions. Your position will focus on the following activities:
Job responsibilities:
- Model validation of market risk models - Evaluate conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs, assessment of model limitations, completeness of testing performed to support the correctness of the implementation.
- Perform ongoing performance monitoring tests to ascertain that models are relevant and fit for purpose.
- Assist with model governance processes, model inventory and issue management and help to devise new model governance policies as and when required.
- Work closely with model developers and controls functions across the firm to understand methodology, usage and establish transparency around model controls, model limitations and performance.
Required qualifications, capabilities and skills:
- Quantitative background with at least a Bachelor/Masters/PhD degree in Statistics, Mathematics, Engineering, Quant Finance, or similar.
- Strong quantitative, analytical, and problem-solving skills; domain expertise in market risk VaR models, derivatives pricing models; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods and stochastic calculus.
- Strong communication and interpersonal skills; ability to multi-task and meet deadlines.
- Ability to work independently, with remote supervision.
- Risk and control mindset: ability to ask incisive questions, assess materiality and escalate issue
- Understanding of Market Risk BASEL/FRTB regulations.
Preferred qualifications, capabilities and skills
- Knowledge and interest in Python programming.
- Understanding of finance industry, particularly in modeling - valuation, risk, capital, forecasting, investment management.
This job is no longer accepting applications
See open jobs at Aumni.See open jobs similar to "Risk- Model review Goverance Review- Analyst" NEXT Frontier Capital.