Associate - Global Risk - Model Validation - BFSI - IIM/IIT

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