Senior Executive - Talent Acquisition at Techsist Solution Pvt Ltd
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Consultant/Senior Consultant/Assistant Manager/Manager - Market Risk - BFSI (1-10 yrs)
We are recruiting for an Exec / Senior / Asst. Manager with expertise in the area of Market risk modelling and asset pricing.
Skills Required:
- Deep understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus etc.).
- Understanding of counterparty risk - CVA, DVA, FVA (using analytical and simulation approach).
- Understanding of VaR, modelling of VaR using simulation, historical and parametric approach.
- Understanding of interest rate curves, modelling interest rates, calibration of stochastic interest rate models (BK, HW etc.)
- Independently able to price derivative instruments of vanilla and exotic payoff structures (swaps, options, CDS etc.) using analytical, simulation, trees etc.
- Able to validate market data, understanding of different data sources including Bloomberg, Reuters etc.
- Independently able to validate pricing, market risk models and the underlying concepts.
- 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.
Must have
- Background in computational/quantitative/financial engineering.
- Master's in Computational Math/Financial Engineering/other quantitative disciplines.
- Sound knowledge of computer programming (Python, R, C++, SAS etc.) and problem solving.
- Excellent communication and time management skills.
- Co-ordinate with different stakeholders, across geographies.
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