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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