Job Views:  
3039
Applications:  153
Recruiter Actions:  55

Job Code

649995

Global Risk Role - Model Validation - BFSI

1 - 12 Years.Mumbai
Posted 5 years ago
Posted 5 years ago

Roles & Responsibilities:

- The Model Validation team validates and documents all in-house trading and risk models across all divisions and geographical locations.

- The Model Validation team works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for a particular asset classes/product group.

- Performing in depth model reviews

- Preparation of model review documentation

- Model Risk Analysis for Assistance to the Quantitative Risk Management team on ad- hoc projects.

- Review models (pricing models and/or risk models): Ensure that the model meets its stated objective.

- This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models

- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected.

- In particular, depending on the asset class we are looking for candidates with knowledge/experience in one or more of the following areas:

a. Interest Rate: Libor Market Model, HJM, Models of the short-rate...

b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

e. Risk Models: Value at Risk, Counterparty Risk Exposure models

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Job Views:  
3039
Applications:  153
Recruiter Actions:  55

Job Code

649995

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