06/04 Pushkaraj Ramesh Sawant
Quantitative Finance Recruiter at Black Turtle India Pvt. Ltd.

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Expert - Pricing/VaR Modeling - IIT/NIT (1-4 yrs)

Delhi/NCR Job Code: 814722

Pricing/VaR Modeling Expert

- We are looking for Pricing experts who are having Strong Exposure on Derivatives, Exotics, CDS, Fixed Income Products.

- We are also fine looking at VaR Modelling Experts.

Job Description :

Responsibilities :

- Work with Risk Analytics/Quant modeling teams in delivering various analytical projects

- Perform ad-hoc quantitative modeling assignments

- Validate & document models following model risk management guidelines and standards

- Make presentations to client stakeholders and internal management

- Participate in brainstorming sessions and propose hypothesis, approaches, & techniques

Required Background :

- 0 - 3 years (across levels) of relevant risk analytics/quantitative analytics experience

- PhD or Post-Graduate Degree in Business/ Statistics/ Mathematics/ Economics/ other quantitative disciplines would be preferred.

- Engineering graduates from premier institutions like an IIT or NIT with relevant work experience are also encouraged to apply.

- Strong knowledge and experience with financial instruments across asset classes and their pricing methodologies

- Worked on market risk model development or validation, enabling a clear understanding of the modeling skills required for regulatory risk calculations viz. VaR, IRC, RNIV / FRTB - ES, NMRF, sensitivity-based risk charge, DRC

- Understanding of approaches to calculate market risk for various traded instruments

- Understanding of broad risk regulatory landscape - development & validation

- Knowledge of quantitative methods - time series analysis, PDE, stochastic calculus

- Strong problem solving and technical skills

- Programming skills - C++ or Java/ any object oriented language, R, Matlab.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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