AVP - Quantitative Modeling Analyst - Consulting - IIT/NIT

We are looking for Quantitative Modeling expert in Gurgaon for a leading Management Consulting organization with Experience in following areas

- Derivative valuation - Fixed income, OTC.

- Regulatory model development. Bases, CCAR.

- Strong Quantitative modeling experience.

Education and Experience :

- B.E from IIT/NIT with 8 + years of experience.

- Excellent knowledge of valuations of OTC derivatives, fixed income instruments, securitized products and hard-to-price securities.

- Strong understanding of counterparty credit risk calculations including CVA, DVA and FVA calculations, as applicable

- Knowledge of hedge effectiveness modeling would be preferred

- Experience in Regulatory Models/ Strategic Models / Pricing models / Analytics models.

Job Responsibilities :

- Driving consulting solutions for global clients in FS world.

- Developing valuations models for instruments that cannot be priced using standard tools

- Calculating the adjustments related to counterparty credit risk including CVA, DVA and FVA

- Analyze business and regulatory challenges faced by the client and determine most effective solutions to deal with them

- Propose different approaches, discuss the pros and cons of each, and finalize the one that is most suited to the client

- Determine the high level phase-wise approach to execute the engagement and discuss on effort estimates with the onshore/client for all the modules to be covered.