Experience
3 - 10 yrs
Job Location
Mumbai, India
Vacancy
1
Designation
Data Scientist
Job Type
Not specified
Job Description
Job Title: RSK-Model Validation Group
Job Code: 13575
Country: IN
City: Mumbai
Skill Category: Risk
Description:
Divisional Overview: The Risk Management Division encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile which ensures the efficient deployment of the firm's capital. It is one of the firm's core competencies and is independent of the trading areas and operational areas. The Risk Management Division in India comprises:
- Market Risk Management
- Credit Risk Management
- Risk Methodology
- Model Risk Management
Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for:
(1) Executing and maintaining an effective Model Risk management framework.
(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.
(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.
The Firm is seeking to recruit a member for IRB (Internal Rating Based Approach) model validation team. The successful candidate will have a strong quantitative background and will be responsible for the independent validation of IRB Models.
Roles and Responsibilities: The current role will specifically cover the following areas:
- Independent Validation of IRB Models, including
- Assessment of conceptual soundness of IRB Models
- Implementation Testing
- Model Risk Analysis to identify, analyse and quantify Model Risk
- Design and implementation of Model Risk Control processes for IRB Models
- Preparation of model review documentation
- Handling of IRB regulatory matters
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