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Cacti Legal - Market Risk Role (3-6 yrs)
- Should know about validating/ valuation of vanilla & exotic derivative products like swap, options, swaption, callable IRS, range IRS, Bermudan opportunity, one-touch & double touch knock out.
- Should be well versed with the valuation models/methodology like Hull white once factoring, American simulation, Vanna Volga, GBM, and close-ended formula as well
- Should have experience in calculating VAR based models for the derivative products/portfolio
- Should have exposure and understanding of implementing libor/IBOR transition for the derivative portfolio and assess its impact
- Implementing FRTB for a bank using a standardized approach and internal model approach
- Understanding and experience in SACCR and SIMM validation or implementation
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