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24/10 Rashmi
Lead Consultant at CareerNet Consulting

Views:3784 Applications:375 Rec. Actions:Recruiter Actions:121

Risk Analyst - Monte Carlo (1-2 yrs)

Mumbai Job Code: 171569

- 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

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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