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Job Detail

Treasury Model validation (5+ Yrs)

Salary

  • Mumbai
  • 26 Feb 2020

Consultant manju@elementsmanpower.com

JobRef DBOI27022020002

 Role Description: -

The role is a Senior Model Validator within the Treasury team, which is responsible for model validation and model risk management for all models used within Treasury, including models covering aspects of Interest Rate Risk in the Banking Book (e.g. modelling of NII and EVE), as well as liquidity and funding stress models.

Main focus will be on providing a central validation service for balance-sheet modelling and liquidity stress testing.

Responsibilities: -

·         The focus lies on high complexity processes - requiring detailed interpretation & judgement calls to be taken as well as deep subject-matter/technical expertise. The candidate needs to lead detailed discussions, build relationships within Treasury / Risk and communicate across all levels of the organisation (incl. senior management).

·         Review and analyze models used to assess the impact of interest rate movements to the Bank’s earnings and capital.

·         Understand mathematical models used, as well as products traded in the financial markets and the associated risks that are inherent from trading these products.

·         Theoretical analysis and review is required. Validation tests of model are implemented in a managed Python code base.

·         Contribute to forming the basis of discussion with key model stakeholders including Front Office Quants, Risk Methodology and Risk Managers depending on the outcome of your review and analysis.

Education/ Qualifications: -

Post-graduate qualification (or equivalent qualification / work experience) in a numerate subject such as Mathematics, Physics, Statistics, Finance (PhD or equivalent is not required but would be beneficial).

 

Contact Person – Manju

Contact No. – 9717702129

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