Model Validation - Quant

Job Description:

- responsible for all aspects of pricing and risk management for Rates front office desks

- includes modeling, development, pricing and risk systems support and keeping abreast with evolving market practices

- typical skills require depth in math, finance and computing

- reporting into trading so very close interaction and exposure to practical issues in derivative pricing and risk management

- currently building an in house platform to bring the bank at par with top tier banks

Profile

- strong analytical skills, ability and interest in rapidly ramping up in math, finance and computing

- preference for proven interest, basic understanding of the area and desire to grow and invest in this over a few years

- pricing library development in C++, number crunching and analysis in Excel, tools in VBA, trade booking system Murex

Example topics

- yield curves, CSA, OIS, FVA, Libor

- volatility, SABR, HJM, BGM, stochastic vol

- payoffs, swaps, bermudans, zero callables, CRAs

Rashmi