Consultant at Black Turtle
Views:554 Applications:60 Rec. Actions:Recruiter Actions:51
Assistant Vice President - Market Risk - Quant (7-12 yrs)
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
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.