Upgrade to Pro Member
Senior Executive - Talent Acquisition at Techsist Solution Pvt Ltd
Views:3765 Applications:141 Rec. Actions:Recruiter Actions:0
Executive/Senior Executive/Assistant Manager - Market Risk Analytics - Consulting Firm (1-9 yrs)
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
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
2-Step Verification - Action Required
We've updated our security procedures!
Your privacy and security are important to us. We've recently updated our security measures to make iimjobs.com safer and more secure for you. This change requires you to reset your password.
Please reset your password using the link sent to your email. If you did not receive any email, please check your spam folder..
