Analyst/Lead Analyst (Pricing Valuation) with Evalueserve Job description : The person will be required to work on one or more of the risk and compliance models for a global asset management firm including but not limited to the following : - Market/Credit/Traded risk models for various asset classes including VaR models and Asset Pricing Models - Credit Risk Methodology models including counterparty credit risk models - Operational risk models - Asset management models, e.g. portfolio construction and portfolio risk. Important responsibilities in this role will include : - Performing various initial and /or ongoing model validation tasks independently or in collaboration with senior quants in New York and London - Create approach note and testing plan for validation of the assigned model; Decide upon appropriate methodology for benchmarking and challenger models - Conduct qualitative review of the model; examine documentation for detailed description of the theory, references to the base model, product description, mathematical and technical parameters - Develop and code challenger models for benchmarking and for validation of high risk models - Review model implementation into the production code; Perform additional testing - Perform direct and indirect validation of calibration in the models - Conduct model risk analysis, stress testing and other tests under different scenarios - Draft a validation report with executive summary with approval/disapproval, restrictions on model usage; summary of findings and remediation plans Skill Set : - Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development - Ability to think out of the box and work on models not encountered before - Programming skills are essential for the role. Strong knowledge in one or more of the following programming languages Python, R, Matlab.; Experience with QuantLib and other open source quant libraries is a plus - Working knowledge of any programming language gained in the industry. - Ability to articulate ideas and make recommendations. - Proficiency in developing and giving presentations. - Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels - Strong analytical and interpersonal skills

Gurgaon/Gurugram

Bangalore

Mumbai

Evalueserve - Analyst/Lead Analyst - Pricing Valuation 

Job Description for Evalueserve - Analyst/Lead Analyst - Pricing Valuation  in Evalueserve.com Pvt. Ltd in  Gurgaon/Gurugram Bangalore Mumbai for (1-10) years of experience. Apply Now!