Associate to VP Roles - Market Risk Quant

- Deep understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus, jump diffusion etc.).

- Understanding of VaR, modelling of VaR using monte-carlo simulation, historical and parametric approach.

- Understanding of interest rate curves, modelling interest rates, calibration of stochastic interest rate models (BK, HW etc.)

- Understanding of Volatility Modelling (HJM, SABR, LMM frameworks)

- Independently able to price derivative instruments of vanilla and exotic payoff structures (swaps, options, CDS etc.) using analytical, simulation, trees etc.

- Understanding of counterparty risk - CVA, DVA, FVA (using analytical and simulation approach). Independently able to validate pricing, market risk models and the underlying concepts.

- Understanding of quantitative methods like bootstrapping, numerical simulation, trees and their application in quantitative finance.

- Understanding different components of market risk and development/validation of risk models and pricing models.

Must have :

- Background in computational/quantitative/financial engineering.

- Master's/PhD in Computational Math/Financial Engineering/other quantitative disciplines.

- Sound knowledge of computer programming at least any two among Python, R, C++, Java.

- Excellent communication and time management skills.

- Co-ordinate with different stakeholders, across geographies.

Good to have :

- Certifications like CQF and FRM.

- Ability to program in multiple languages/platforms.