Risk Analyst - Monte Carlo

- Running and maintaining all processes for calibration of parameters of Monte Carlo Tool used in exposure measurement globally.

These tools are in place to:

- Calculate various parameters like Volatility, Correlation etc. for particular asset classes,

- Assess materiality of non-simulated risk factors.

- Perform analysis for failed trades in Monte Carlo Pricing Tool.

- Monitoring large and important long term maturity trades.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

Pedigree:

Should have experience with at least one of the following:

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- Financial Mathematics

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III