4679

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470

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RECRUITER ACTIONS

Job Code

579800

Associate/Analyst - Model Validation - Quantitative Risk Management - Global Risk - Investment Bank

1 - 5 Years.Mumbai
Posted 5 years ago
Posted 5 years ago

Position Specifications:

Corporate Title : Associate/Analyst

Functional Title: Analyst/Associate/Senior Associate

Experience: 1-5 years

Qualification : Grad/PostGrad in a quantitative field

Role & Responsibilities:

- Preparing in depth model reviews- Ensure that the model meets its stated objective

- This would include reviewing the theoretical assumptions and the implementation of the model- for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

- Ensure model suitability in terms of pricing, risk management of in scope products

- Preparation of model review documentation

- Model risk analysis

- This current role will look mainly into validation of FX models (local volatility, stochastic volatility, mixture models etc with the numerical methods used being PDEs, Monte Carlo)

Mind Set:

Mandatory

Qualification, Experience & Skills:

- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)

- Competency in one or more major programming languages (C++, python) required (at the very least exposure to procedural programming)

- Attention to detail

- Good written communication in English

- In particular, candidate should have worked on derivative modelling/validation in at least one of the below asset class:

a. Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate

b. Equity e.g. Pricing of Exotic Payoffs (like Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

c. Credit e.g. Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

d. FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

e. Risk Models e.g. Value at Risk, Counterparty Risk

Exposure models

Competencies :

Culture & Conduct:

- Building Culture

- Diversity & Inclusion Professional

- Integrity Self-Awareness

Behavioral Indicators:

- Contributes to desired culture

- Sets positive example

- Aware of different values/styles

- Holds high standards of behaviour

- Aware of own strengths/weaknesses

Client-Centricity & Business Acumen:

- Commerciality Client-Centricity

- Analytical Thinking & Problem Solving

Behavioral Indicators:

- Understands current market

- Anticipates client needs

- Pays attention to detail

- Sees problems, recommends solutions

Strategy & Innovation:

- Strategic Thinking & Change

- Decision Making & Judgment

- Agility

Behavioral Indicators:

- Balances alternative views

- Knows when to decide/when to escalate

- Champions new ideas

- Is both disciplined and entrepreneurial

- Sees when to escalate

Leadership & Collaboration:

- Managing Talent

- Recognizing and Motivating Supporting,

- Developing & Collaborating with others

- Managing Conflict

Behavioral Indicators:

- Thinks differently

- Balances alternative views

- Knows when/how to compromise

- Learns from experience

- Seeks to develop

Communication & Connectivity:

- Articulation & Receptiveness Impact Connectivity

Behavioral Indicators:

- Assists in recruiting

- Gives credit

- Builds productive working relationships

- Provides constructive, timely and specific feedback

Communication & Influence:

- Articulation and Receptiveness

- Impact Connectivity

Behavioral Indicators:

- Adjusts style to suit topic

- Balances listening/talking

- Communicates with clarity and consideration

- Is a proven and credible resource

- Questions to understand others views

- Builds internal contact network

- Willingly effectively works across teams

Execution & Delivery;

- Driving Performance

- Execution-Focus

- Planning & Organizing Adaptability

Behavioral Indicators:

- Demonstrates accountability/commitment

- Takes on challenging assignments

- Executes priority actions on-time

- Keeps stakeholders updated

- Manages expectations

- Persists when confronted with resistance

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4679

JOB VIEWS

470

APPLICATIONS

12

RECRUITER ACTIONS

Job Code

579800

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