There is a job opportunity a leading US banking organisation for multiple positions where responsibilities are as follows:
Individual will perform as a contributing member in
- Perform in depth review of pricing/risk-management models. Reviewing and updating model documentation
- Perform Model Risk Analysis. Checking assumptions underlying the model and its implementation. Ensure that the model's objectives are met
- Collaborate with Quant teams on various projects including design and development of risk frameworks
Required Skills
- Strong Quantitative skills. Knowledge of following is compulsory:
- Stochastic calculus (Markov processes, Ito's lemma, Martingales etc.) & Risk Neutral Pricing
- Numerical Methods (Finite Difference, Monte Carlo Simulation etc.)
- Knowledge of Quantitative Finance is compulsory including:
- Vanilla and Exotic Derivative Products (Options, Futures, Swaps, Exotics such as Cliquets, Rainbows, Cappuccinos/ Stellars, Share Repurchases, Timer Options, Variance Swaps, Quantos. Compos, CDOs, Credit Default Swaps)
- Models (Depending on the particular asset class):
- Rates: Libor Market Model, HJM etc
- FX & Equity: Black Scholes, Local Volatility, Stochastic Volatility Models
- Credit: CVA/DVA calculation
- VAR etc
- Strong Written and Oral Communication
- Attention to details
- Willingness to learn
- Strong work ethic
- Team player
Desired Skills
- Experience in C++ and/or Python
- Speaking / presentation skills in a professional setting
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