NAB
Location
Gurgaon | India
Job description
Key Accountabilities : Validating all financial models, including pricing and risk models (including Stress), owned by Markets and Treasury, whether those models were developed internally or by an external party prior to implementation and post implementation into a technology asset. Revalidation of all material Markets and Treasury models on a periodic basis. Ensure prospective risk appetite breaches, material risks, loss events and/or deviations from the Model Risk Policy/Framework are known to relevant Domain-aligned teams and escalated on a timely basis. Leverage specialist skills and subject matter expertise from other Risk and business teams as required.
Purpose : Perform independent validation of risk and pricing models for Markets and Treasury to ensure: consistently reflect true economic values, and produce accurate market risk and credit risk exposures for traded and non-traded products. Capabilities : Understanding and management of model risk Financial and numerical literacy Experience in derivatives pricing and in the validation of models across traded or non-traded market risk would be highly desirable. Experience with a programming language, e.g. C++/C#/Python. Experience : Preferred to have 3+ years’ professional experience in quantitative risk management at a bankJob tags
Salary
