Job Description:

 Model Risk Management's mission is to manage, independently and actively, model risk globally in line with the
bank's risk appetite with responsibility for:
o Performing robust independent model validation;

o Ensuring early and proactive identification of Model Risks;

o Designing and recommending Model Risk Appetite;

o Effectively managing and mitigating Model Risks;

o Establishing Model Risk metrics;

o Designing and implementing a strong Model Risk Management and governance framework;

o Creating bank-wide Model Risk related policies.

o Pricing Model Validation as part of MoRM is responsible for the independent review and analysis of all
derivative pricing models used for valuation and risk across the bank.
o The role is independently to review and analyse derivative models for pricing and risk management.

Position Specific Responsibilities and Accountabilities

 The role is to independently review and analyse derivative models for pricing and risk management.
 The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London 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.

 In addition to theoretical analysis and review it is required (where appropriate) that model/products are
independently implemented in a managed C++ library.

 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.

 People Management

Experience/ Exposure
 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 C++ an advantage.

 Excellent communication skills – both written and oral.

Education/ Qualifications
 PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics.
 Strong candidates with other post-graduate qualifications may also be considered.