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Join us as senior model validation quant in the Model Risk Management team, focusing on the vali-dation of quantitative models in the areas of Incremental Risk Charge (IRC), FRTB Default Risk Charge (DRC), Credit Economic Risk Capital (ERC), and Operational Risk (OR). This role will help you develop a deep understanding of market or credit risk portfolio models based on Monte Carlo; or the operational risk modelling landscape covering the advanced measurement approach for regulatory capital, operational risk ERC, or stress testing. You will be also independently implementing these models using advanced concepts of statistics and programming. You will be conducting independent validation reviews of business-impactful models, meeting business needs and regulatory expectations, with the responsibility for investigating key aspects of each model under review, i.e., e.g., the choice of modelling approach, the underlying assumptions and associated limitations, performance, and optimal use of the model. This role involves continuous interaction and collaboration with stakeholders from a wide range of internal business areas. You will be exposed to a broad and diverse governance framework, which covers an end-to-end process of quantitative models. As part of your role, you will also be responsible for creation of technical reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders. Your future colleagues * You will work on models across all banking division within a global, dynamic, technically highly skilled, and motivated team. We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values. We are looking for candidates with the following qualifications: § A PhD or a master’s degree in a quantitative discipline with an advanced level of statistics (e.g., Mathematics, Physics, Engineering, Statistics, Quantitative Finance) § At least three years of relevant experience in financial and risk modelling § Modelling knowledge of traded financial products, PD, LGD, EAD estimation. Knowledge of topics in the areas of IRC, DRC, Credit ERC, and/or Operational Risk modelling are a plus § Good knowledge and proven programming experience of statistical software applications, such as R and Python § Ability to review, verify, and challenge quantitative models for theoretical soundness, testing design and identification of model weaknesses and ensuring ongoing monitoring and to write a technical report consolidating the final observations § Client focus and the ability to communicate effectively with senior stakeholders, including the ability to explain complex topics to a diverse range of audiences, which includes junior employees, senior management, and internal and external stakeholders § A general understanding of global regulatory requirements is expected § Experience in driving projects, including supporting and guiding junior validators through the course of validation projects and serving as a technical point of contact for them, would be an added advantage § Self-motivation, task focus, the ability to deliver high quality results to strict deadlines and to work within a global and diverse team while also being able to work independently § Dedication to fostering an inclusive culture and value diverse perspectives Job: Risk Management *Title: *Model Validation Quant, AVP #228805 Location: India-Mumbai-Mumbai Requisition ID: 228805
