Lead Consultant at CareerNet Consulting
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Risk Analyst - Monte Carlo (1-2 yrs)
- 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
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