Upgrade to Pro Member
AVP - Quantitative Risk Management - Model Validation/Stochastic Calculus - BFSI (3-8 yrs)
Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
- Familiarity with econometrics or general statistics is desirable
In particular, we are looking for candidates with knowledge / experience in one or more of the following areas:
a. Interest Rate: Libor Market Model, HJM, Models of the short-rate
b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
e. Risk Models: Value at Risk, Counterparty Risk Exposure models
f. Stress Testing models
The current role will specifically look into following areas
- Validation of risk models (counterparty exposure, VaR etc) and/or
- Validation of stress testing models - models used for assessing the stability or business continuity of the Nomura Group from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.
Activity is often project-based, being driven by various regulatory requirements (e.g. JFSA Industry-Wide Stress Testing).
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
2-Step Verification - Action Required
We've updated our security procedures!
Your privacy and security are important to us. We've recently updated our security measures to make iimjobs.com safer and more secure for you. This change requires you to reset your password.
Please reset your password using the link sent to your email. If you did not receive any email, please check your spam folder..
