Job Description
Role: Market Risk Modeling (Model Development / Validation)
Location: Bengaluru
Role Responsibilities:
- Identify and evaluate the conceptual soundness of Pricing models (stochastic fixed income and equity models) and market regulatory models (FRTB, VAR, IRC, CRM) along with assumptions and model limitations.
- Assess model performance through independently performing calibration test, degeneracy test in case of exotic payoffs, benchmarking sensitivity tests covering stress scenarios.
- Review the quality of input data by checking arbitrage-free conditions and by liaising with stakeholders such as: IPV (Independent Price Verification) teams and Data control teams to ensure data adequacy.
- Evaluate the model usage by verifying the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
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