Consultant/Manager - Pricing Model/Quant - BFSI

- Deep understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus, jump diffusion etc.) and independently able to validate pricing, market risk models and the underlying concepts

- Deep understanding of Mathematics and statistics in terms of linear algebra, probability theory, stochastic calculus

- Understanding of VaR, modelling of VaR using monte-carlo simulation, historical and parametric approach and VaR backtesting

- Understanding of interest rate curve construction, modelling interest rates, calibration of interest rate models (CIR, HJM, LMM, HW etc.)

- Understanding of Volatility Models (Vanna-Volga, Local Volatility models, stochastic volatility models like SABR, Heston)

- Independently able to price derivative instruments of vanilla (swaps, European options, CDS) and exotic payoff structures (Bermudan swaptions, Equity linked notes, MBS etc.) using analytical, simulation, trees etc.

- Understanding of counterparty risk - CVA, DVA, FVA (using analytical and simulation approach) including backtesting of CCR models (Risk factor distribution and correlation backtesting).

- Understanding of quantitative methods like bootstrapping, numerical simulation, trees and their application in quantitative finance

- Understanding different components of market risk and development/validation of risk models and pricing models.