Associate Director

Position Title : Assistant Director / Associate Director

Experience Level : 10- 15 Years

Location : Bengaluru / Gurugram / Pune

Job Purpose

• Provide strategic vision and leadership for the Model Risk Management (MRM) team, ensuring robust model risk oversight and a best-in-class validation function across the organization.
• Oversee and execute comprehensive model validation and review processes in accordance with client’s model risk management policy to assess model usage, documentation, conceptual soundness, data integrity and the control environment.
• Lead the effective implementation, maintenance, and continuous improvement of Model Risk Governance frameworks, policies, standards, and procedures in strict alignment with regulatory standards and internal risk appetite
• Oversee and execute comprehensive model validation and review processes for all key model types, including Credit Risk (PD, EAD, LGD), Market Risk, CCR, Interest Rate Risk, Fraud Risk, Stress Testing, AML transaction screening, Pricing, Prepayment models etc.
• Perform ad hoc (generally statistical) analysis of back-tests or simulated performance information.
• The Credit Valuation Adjustment (CVA) accounts for measures of counterparty non-performance risk and is an adjustment made to the value of a financial instrument to reflect the possibility that a counterparty might default when the instrument is an asset for the sponsor.
• The Pricing and Potential Future Exposure model (PFE) produces distributions of rate or valuation outcomes based on expectations of future interest rates. It is used for pricing new customer trades for interest rate swaps before taking to market and in credit underwriting.

Desired Skills and experience