Market Risk (quant) - AVP

Overall Skills :

- Top tier college (with Masters in Mathematics, Economic, Statistics etc.)

- Only Top Investment Banks (had also named few)

- Strong in coding - Python or so

- Primarily from Pricing domain, having worked in Asset class like Fixed income, Equity, FX derivatives with exposure in Stochastic volatility modeling, Interest rate modeling, Monte carlo simulation, valuation etc.

- Certification in FRM, CQF, CFA desirable

Highlights for Technical skills :

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

Skills/Experience Required :

- Minimum 7-8 years of experience of financial modelling experience in validation/development in Risk Management in Market Risk

- Master's degree in Mathematics/Statistics/Economic/Engineering/Computer Science/Management or any other quantitative fields of study

INTERNAL

- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis

- Proficiency in SAS / R, Python, Matlab and MS Office tools like Excel & PowerPoint

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models with focus on Interest rate, Equity, FX products

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SBAR models, HJM models etc.

- Candidate should have experience in Stochastic Volatility modeling, calibration etc.

- Candidate should have experience in developing or validating Value at risk models using Greek based or Full Revaluation, PFE modeling for XVA, Incremental Risk charge (IRC) models etc.

- Candidate should be able to lead a team of junior analysts and be responsible for team management/ project management and provide guidance/coaching across multiple projects;

- Candidate should have strong understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7.

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends

- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.

- Strong business acumen with out-of-the box thinking to drive improved business performance

- Strong stakeholder management skills and seamless delivery of analytics initiatives across markets

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