Model Validation Analyst - Derivative Pricing

Model Risk Managements mission is to manage, independently and actively, model risk globally in line with the bank's risk appetite with responsibility for:

• Performing robust independent model validation;
• Ensuring early and proactive identification of Model Risks;
• Designing and recommending Model Risk Appetite;
• Effectively managing and mitigating Model Risks;
• Establishing Model Risk metrics;
• Designing and implementing a strong Model Risk Management and governance framework;
• Creating bank-wide Market Risk policies

The Pricing Model Validation team as part of MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and pricing across the bank.

Your key responsibilities

• The role is to independently review and analyse derivative models for pricing and risk management across Rates, FX and Hybrids.
• The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London and Berlin to produce, analyse and document validation testing.
• Reviews and analysis require a good understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks.
• The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers.

Your skills and experience

• Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
• Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience.
• Experience coding in a high level language primarily Python.
• Excellent communication skills both written and oral.

Education/Qualifications

• Academic degree in a quantitative discipline (e.g. Mathematical Finance / Statistics, Maths, Physics, Engineering) with a focus on application.