Posted By
Posted in
Banking & Finance
Job Code
357648
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
Didn’t find the job appropriate? Report this Job
Posted By
Posted in
Banking & Finance
Job Code
357648
Download the iimjobs app to
apply for jobs anywhere, anytime
Download on
App Store
Get it on
Google Play
Scan to Download