Posted By
Posted in
Banking & Finance
Job Code
360497
WE HAVE JOB OPENING - Associate-Global Risk - Model Validation
MBA from a reputed institute-IIT,IIM
- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected.
In particular, depending on the asset class we are looking for candidates with knowledge / experience in one or more of the following areas :
Interest Rate : Libor Market Model, HJM, Models of the short-rate...
Equity : Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
Credit : Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
FX : Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
Risk Models : Value at Risk, Counterparty Risk Exposure models.
Roles & Responsibilities :
- The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations.
- The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for a particular asset classes / product group.
- Performing in depth model reviews
- Preparation of model review documentation
- Model Risk Analysis . Assistance to the Quantitative Risk Management team on ad- hoc projects.
- Review models (pricing models and / or risk models): 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.
Richa
20 6400 7004
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Posted By
Posted in
Banking & Finance
Job Code
360497
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