Posted By
Posted in
Banking & Finance
Job Code
1461650
AVP - Pricing Model/Risk Management
We are hiring for a leading Financial organization based at Delhi/NCR/ Mumbai/ Hyderabad
Position :
Experience : 4-9 yrs in Quant/derivative pricing Model Validation/Model review - For financial Services with good Python, SAS programming skills
Education : B.Tech/Masters/MBA in Economics, Mathematics, Statistics, Finance, Computer science
Role & Responsibilities :
- Performing independent validation of wide range of pricing/ VAR/ Rniv and risk models across asset classes like Equity, Fixed Income, Interest Rate, Credit Derivatives, OTC products, Swaps, etc
- Responsible for performing and documenting analysis and testing of EOD pricing Models, Market risk pricing models, counterparty credit risk pricing models, related finance models
- Responsible for end-to-end independent model review and validation engagements
- Making Model Validation Report documentation
-Develop or validate equity, FX, and hybrid based exotic pricing models with a focus on conceptual assessment and assumptions testing.
- Perform quantitative analysis focused on Profit Attribution Analysis (PAA), Stress Testing and Non- modellable Risk Factors (NMRFs) for the models being validated.
- Assess valuation methodology for fixed income instruments and derivatives on interest rates, foreign exchange, equity, and credit.
- Design, implement and critique on calibrations of parametrized valuation models such as Black Scholes, Hull & White, SABR, Heston, etc.
- Assess IPV methodology for external clients covering products across all asset classes.
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Posted By
Posted in
Banking & Finance
Job Code
1461650