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
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