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Model Validation

Mumbai, MH
Job Code:
  • Banking & Finance
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Job Details

Validation projects investigate all aspects of the models, covering their assumptions regarding the behaviour of different asset classes, performance over different time scales, treatment of different products and risk types and their aggregation and use in the risk capital calculations.Model validation reviews typically include1. Participation in working groups addressing modelling issues and the model control environment 2. Investigating key aspects of each model under review the choice of model, its correct implementation and optimal use of the model3. Developing independent modelling for comparison with that under validation 4. Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches5. Backtesting alternative models to evaluate and compare their performance using historical simulations 6. Reviewing findings with colleagues in different groups including model developers, risk managers and traders7. Developing appropriate controls to mitigate for model risk and residual uncertainty 8. Documenting the testing performed theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implicationsIn conducting the reviews the analysts perform some computationally intensive work, including1. Developing, maintaining and running test tools to investigate different aspects of the model 2. Setting up and running historical backtesting scenarios3. Generating, extracting and structuring risk and value data from Front Office systems 4. Implementing numerical algorithms and automating testing processes in VBA and C++
Additional Degree: BE/ B.Tech (Engineering) | BCA (Computer Application)

Experience: 5-10


Quality Assurance/Testing | System Administration | System Analyst/Tech Architect
Applying for this job will take you to an external site


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