We have an opening for Modelling role with a leading consulting firm.
JD :
- Developing valuations models for instruments that cannot be priced using standard tools
- Calculating the adjustments related to counterparty credit risk including CVA, DVA and FVA, HW, BDT, HJM models
- SIMM modelling/validation to calculate Initial margin would be a plus
- Understanding of RWA calculation for credit risk and counter party credit risk
- Engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery
- Take responsibility for key deliverable on engagements reporting to Engagement managers.
Education/Professional Qualifications:
- Advanced degree in Math, Financial Engineering, Econometrics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or B.tech. + MBA in finance. Professional Certification such as FRM, CFA.
- CQF certification is a must.
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