Quantitative Risk Management - BFSI

Quantitative Risk Management

Principal Responsibilities :

- Work within the multi-location team on model validation tasks for derivative and security products valuation and risk methodology, covering various asses classes which include fixed income, equity, credit derivatives, insurance-linked derivative and commodities. Model review of market risk aggregation methodologies such as VaR, Stress and credit risk measurement.

- Model review of financial risk representation in insurance products.

- Model validation tasks require critical analysis of product and modelling technique, model testing (including independent implementation of the model), alternative model analysis and documentation of results and conclusions. Follow up on identified issues, ensure resolution or containment.

- Produce documentation summarizing validation of the model in question according to the standards, quantify model risk.

Required :

- A Masters Degree or equivalent in a quantitative discipline or a graduate in engineering from premier institutes

- Strong understanding of stochastic calculus, derivatives pricing theory & numerical methods is required

- 4 to 6 yrs of experience in a modelling / model validation capacity is a plus.

- Actuarial qualifications / professional experience in the field of (re)insurance is welcome.