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14/09 Rachita
HR at Black Turtle

Views:1129 Applications:204 Rec. Actions:Recruiter Actions:147

AVP/Vice President - Model Validation - VaR/CCAR/Pricing Models/Stress Testing (3-10 yrs)

Mumbai Job Code: 978138

Ensure that the model meets its stated objective

- This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

- Ensure model suitability in terms of pricing, risk management of in scope products

- Preparation of model review documentation

- Model risk analysis

- This current role will look mainly into validation of FX models (local volatility, stochastic volatility, mixture models etc with the numerical methods used being PDEs, Monte Carlo)

Qualification, Experience & Skills :

- 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 :

Interest Rate : Libor Market Model, HJM, Models of the short-rate

Equity : Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

Credit : Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

FX : Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Risk Models: Value at Risk, Counterparty Risk Exposure models

Stress Testing model

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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