Consultant/Senior Consultant/AVP/VP/AD/Director - FSRM - Quant/Model Validation

This role is with the Market Risk Department and more specifically the Model Validation Team with a leading consulting Firm for Mumbai location.

Designation - Consultant / Sr. Consultant/AVP / VP/ AD/ Director

- This independent team is responsible for conducting product and model validation to help assess and mitigate the risk embedded in pricing and liquidity models.

- Positioned at the heart of the model and product assessment process, you will be responsible for identifying the key risk factors of equity derivative products and evaluating the soundness of the model choices.

- The team will handle more particularly the validation of products or models being specifically a matter of this perimeter.

- It will also be a key element in the elaboration of technical documentations to the attention of the US regulator. - You will report to the head of the Model validation team.

Duties of the role:

- Independent review and analysis of models used for pricing and risk management of equity derivative products (conceptual soundness of model specification and assumptions including tests in stressed market conditions, correctness of implementation or robustness of numerical aspects).

- Review of product-model adequacy in light of hedging strategies and market liquidity with studies of product sensitivities in various market conditions

- Possibly the proposal of alternative approach

- Possibly the implementation (in C #) of a given model in the Model Validation library (independent from the Front Office pricing library)

- A strong and proactive interaction with traders, RD teams, risk managers and finance

- Documentation of the validation findings with pricing framework conditions / limitations Successful candidates will possess the following skills, education and experience

- A Master/PhD from a top university in a scientific subject such as Mathematics, Physics, Mathematical Finance or Statistics

- A valuable experience of 4+ years in a model validation or front office quant role with a broad exposure to equity derivatives.

- Very good communication skills in English both written and oral

- Strong ability in object oriented programming (C++ or C# ideally).