AVP - Market Risk - Pricing Model Validation - Bank

AVP - Market Risk - Pricing Model Validation for a Banking MNC in Mumbai

Job Description :

- The reviewing and testing of front office pricing models for credit derivatives, CVA valuations, and other counterparty default related valuations.

- Clear documentation of all testing, with follow ups for identified modelling issues

- Development of independent models, from mathematical concepts to implementing using common library

- Engagement on modelling issues with risk managers, product control, front-office quants and traders.

The successful candidate will be trained in the mathematical background of derivatives pricing, and in the use of pricing systems within tha company, and then supported in the testing of front-office pricing models and development of independent models

Ideal fitment would be a candidate possessing;

- High level of technical quantitative skills

- Empirical and critical mindset, and an ability to look at problems in an original way.

- Evidence of the above through higher degree in maths/physics/finance etc. In particular, the skills gained during a technical PhD are exactly what is required for the role.

- Some programming experience in C++, F# or similar will be valuable

- Good verbal and written communication skills