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Managing Director at Vertex Corporate Services
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Quant Model Development & Validation (5-15 yrs)
Position: Quant Model Development & Validation (5-15 years)
Role:
- Building and Validating Risk Models and derivative models for pricing across asset classes
- Take ownership of individual methodology development from upfront analysis and model description to functional specs and UAT
- Providing Quantitative and Qualitative justifications for modelling choices, assumptions made, data selection, etc.
- Statistical analysis of model choices with historical data or back-testing
- Identifying model limitations and parameter uncertainty
- Quantifying VaR impact arising from use of market data proxies, illiquid market data etc.
- Maintaining a robust risk model control framework
- Check feasibility of implementation approach with IT and Operations
Requirements:
- 5-15 years of experience
- Post Grad/ PhD in Quant Finance/ Maths/ Physics etc.
- Excellent mathematical abilities and an understanding of stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, and numerical algorithms.
- Experience in using large datasets, familiarity with databases and with SQL and SAS
- Good knowledge of Financial Markets, Risk Management, VaR
- Experience of working with Matlab
- Programming experience in C, C++, Java, Javascript, web services is a plus.
- Excellent verbal and written communication skills
Location: Pune
This position is with a Client of Vertex Corporate Services which is a Leading Global Financial Services Giant
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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