11/09 Dhonika Joshi
Headhunter at ABC Consultants

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AVP - Pricing Model Validation (3-8 yrs)

Mumbai Job Code: 742354

JD

Working on Equities and equity hybrids model review, testing and documentation following the model validation guidelines of SR11-7.

Timely delivery of sign-offs and effective challenge to Front-Office and escalation of identified issues.

Conducting research for establishing methodologies that estimate model risks associated to products.

Independent model development building up our modeling framework and library.

Review of New Products: Conducting analysis for Pre-Trade Approvals.

Liaising with other stakeholders: Front-Office quants and trading, Market Risk and Product Control.

Requirement

Team player with good interpersonal skills, especially in terms of communication, documentation, and liaising with other stakeholders.

Relevant past experience.

Technical background and education (Maths, Physics or Engineering)

Educated to Masters level in a quantitative topic.

Good knowledge of derivatives pricing, stochastic calculus, numerical algorithms or products.

Experience with a relevant programming language: C++, F#, R or Python. (using it to implement derivatives pricing models).

Women-friendly workplace:

Maternity and Paternity Benefits

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