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Richa

Consultant at Black Turtle

Last Login: 21 November 2016

Job Views:  
7545
Applications:  108
Recruiter Actions:  21

Job Code

357648

Associate - Model Validation Group - BFSI

3 - 6 Years.Mumbai
Posted 7 years ago
Posted 7 years ago

Associate

- Good understanding of-stochastic calculus

- 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 bench-marking tools for testing of various scenarios & boundary conditions of complex models

Qualification, Experience & Skills :

- 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, Counter-party Risk Exposure models

Richa
20 6400 7004

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Posted By

user_img

Richa

Consultant at Black Turtle

Last Login: 21 November 2016

Job Views:  
7545
Applications:  108
Recruiter Actions:  21

Job Code

357648

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