RSK-Model Validation Group

Job Summary


Role & Responsibilities

• Review internally and externally developed Valuation Control models (with additional opportunity to start working on Front Office derivative pricing models) - Ensure that the model meets its stated objective and intended use.
• Perform model validation which would include:
  • Development of tools for Implementation testing to ensure that the production model is consistent with its theoretical basis
• Assessment of the integrity and suitability of Model parameters
• The current opening is for a quant in the VCMVG group. Additionally, the role also gives opportunity to develop additional into validation of derivative pricing and hedging models developed by Front Office (e.g. Libor Market Model, Local Volatility and Stochastic Volatility modelling approaches)

Position Specifications

• Corporate Title: Associate
• Functional Title: Associate/ Sr. Associate/ AVP
• Experience: 3-6 years
• Qualification: Grad/PostGrad with a strong degree in quantitative/ engineering domain or PGDM Finance
• Requisition No.: 12204

Key Skills

• Model Validation
• Valuation Models
• Valuation Control
• Derivative Pricing
• Libor Market Model
• Local Volatility
• Stochastic Volatility
• Implementation Testing
• Model Risk

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