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Senior Recruitment Analyst at Virtuoso Staffing Solutions
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Executive/Senior/Assistant Manager/Manager - Statistical Modeling - Bank (1-10 yrs)
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, modeling of VaR using simulation, historical and parametric approach.
- Understanding of interest rate curves, modeling 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.
Good to have :
- Certifications like FRM, CFA, CQF.
- Experience with Bloomberg Terminal (functions like SWPM, CDSW, ICVS among others) and FINCAD.
- Ability to program in multiple languages/platforms.
Education :
Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or B.tech. + MBA in finance from Tier 1 B-Schools. Professional Certification such as FRM, CFA. CQF preferred.
Experience :
Prior experience of working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred.
Our Deal :
- Exposure to global clientele
- Travel opportunity for US & UK based on business requirements
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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