Executive/Senior Executive/Assistant Manager - Market Risk Analytics - Consulting Firm

Service Line :

Risk analytics team works with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to Market risk model development & validation, and derivatives pricing 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.

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