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Associate Model Risk, eTrading Quant Developer


Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
As part of the firm's model risk management function, Model Risk Governance and Review (MRGR) is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a model's appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.
This role will be within the electronic trading MRGR team and requires a combination of development and quantitative skills with emphasis on development. This role will focus on conducting quantitative testing of data-driven financial models for the purpose of model validation, conceptual soundness assessment as well as developing an integrated testing platform to unify validation of these models across the investment bank.
Core responsibilities:
The successful candidate will be a member of MRGR in Mumbai covering electronic trading businesses, and will focus on the following activities:
Work with other model validation quants to understand the testing needs - e.g. backtesting, statistical performance, outlier sensitivity - required to address specific concerns in model validation: model conceptual soundness, reasonability of assumptions, and performance robustness, etc. Coordinate with model development teams to implement necessary testing.
Collaborate with model development and technology teams and understand the architecture of production and development systems, in order to design and develop an accessible testing platform that integrates a variety of codebases and databases.
Essential skills, experience, and qualifications:
3+ years of experience in the following areas:
Python and at least one of Java or C++:
data and numeric programming (NumPy, Pandas, etc.)
database interfacing
Big data processing:
q/kdb+ development
data streaming, memory management (e.g. AWS, GC, etc.)
data management (kdb, no-SQL, RDBMS)
data (pre-)processing (kdb/q, SQL scripting)
data messaging protocols
Advanced software development:
functional programming
design (API and OO)
multithreading and async IO
Linux, shell scripting
Quant development, mathematical statistics, prototyping (R)
Excellent written and verbal communication skills - ability to understand problems and communicate technical content to non-technical audiences and stakeholders at all levels
Independent, self-motivated, self-starter
Capable of independently identifying problems and proposing solutions.
Posted
07/08/2022
Location
mumbai, MH, IN