- Participate in independent validation reviews across a wide range of Scenario, Stress Testing and CCAR models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review, choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.
- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.
- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
- Create model risk reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders.
The truly global scope of model risk means that this role will involve working with an incredibly broad group of stakeholders from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models.
Selection Criteria :
- Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, eg. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.
- Extensive experience in financial modelling and/or model validation,with a specific focus on Scenarios/Stress-Testing/CCAR models. Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics.
- Client focus and the ability to communicate effectively with senior stakeholders (internal, external, Regulators), including the ability to explain complex topics to a diverse range of audiences.
- Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results to strict deadlines.
- Experience in data management and analysis or in Front Office IT would be an advantage.
- A general understanding of global regulatory requirements is desirable to be a credible counterpart given the huge and challenging variety of models in scope.
- Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS
BLACK TURTLE is a premier talent management consultancy firm. The Indian arm was established... in the year 2000. Since then the unit has grown manifold and is ranked among the Top 10 across various services and functions.
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
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