RSK-Model Validation Group

About the role

The Model Validation Group (MVG) is globally responsible for independently validating the appropriateness, integrity and comprehensiveness of different models used in the firm. These include Risk Models, Valuation Models, IPV models, Liquidity models and Algo trading models in the firm.

What you'll do

• Development of group wide analytical, testing and reporting library in Python, including incorporating AI workflows
• Help with designing and implementation of tests to challenge the theoretical assumptions and the implementation of the models (includes market risk models like FRTB…
• Ensure that the models meet their stated objectives
• Modernise the preparation of model review documentation using Python scripts
• Help in writing systems to store performance metrics for the bank’s models

What you need

• 1–4 yrs of experience
• Credit risk
• Python
• Market risk
• Reporting
• NumPy
• Pandas
• MBA or B.Tech or B.E.

Good to have

• Power BI
• SQL
• C#
• Git
• Flask
• Wealth management