Assistant Vice President - Pricing Model Validation - BFSI

Assistant Vice President - Pricing Model Validation

Job Description :

- The reviewing and testing of front office pricing models for credit derivatives, CVA valuations, and other counter party default related valuations.

- Clear documentation of all testing, with follow ups for identified modelling issues

- Development of independent models, from mathematical concepts to implementing using common library

- Engagement on modelling issues with risk managers, product control, front-office quants and traders.

Desired Profile :

- High level of technical quantitative skills

- Empirical and critical mindset, and an ability to look at problems in an original way.

- Evidence of the above through higher degree in maths/physics/finance etc. In particular, the skills gained during a technical PhD are exactly what is required for the role.

- Some programming experience in C++, F# or similar will be valuable

- Good verbal and written communication skills