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28/08 Ragini Kashyap
Senior Executive - Talent Acquisition at Techsist Solution Pvt Ltd

Views:3018 Applications:201 Rec. Actions:Recruiter Actions:8

Consultant/Senior Consultant/Assistant Manager/Manager - Market Risk - BFSI (1-10 yrs)

Bangalore Job Code: 736825

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.

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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