Model Validation_Pricing Models
MumbaiFull-time6–11 yrsPosted 5 days ago
Senior risk role at MUFG Global Service in Mumbai. Needs 6+ years and a PhD or MBA.
About the role
The use of models presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. Model risk can lead to financial loss, poor business and strategic decision-making, or damage to a banking organization’s reputation.
What you'll do
- Independently validate counterparty credit risk and XVA models, including: Exposure models: PFE, EPE, EEPE, EAD; Monte Carlo simulation engines
- Conduct end-to-end validation, including review of modeling methodologies, assumptions and limitations, risk factor evolution (HW, LMM, SLV, etc.)
- Design and execute independent testing and benchmarking, including sensitivity analysis, convergence and stability tests, stress testing
- Review underlying pricing models across asset classes (Rates, Credit, FX, Equities, Commodities) that feed into XVA and exposure calculations
- Support assessment of compliance with Americas Model Risk Management Policies and Procedures, U.S. regulatory expectations, and Basel CCR standards (SA-CCR, IMM
What you need
- Credit risk
- Risk management
- Statistics
- C++
- Python
- R
Good to have
- Physics
- Market risk
- Performance testing