17/08 Karan Madhok
Manager - Risk/Digital & Analytics Practice at Michael Page India

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Manager/AVP - Pricing Model Development - Derivatives Modelling - Financial Services Firm (5-10 yrs)

Delhi/NCR/Mumbai/Bangalore Job Code: 483500

Pricing Model Development - Derivatives Modelling - Manager/AVP

Our Client:

Our clients are a leading financial services firm and is seeking an experienced professional to join their Market Risk team modeling team based out of Delhi NCR

Key Responsibilities

- Work with Market Risk Modelling team in delivering various analytical and advisory projects

- Developing and validating Valuation/Pricing models for various asset classes

- Perform model testing - performance, stability; assess the model's functional soundness

- Also, work on market risk, liquidity risk, and ALM models

- Understand latest regulatory guidelines and advise clients on their implementation

- Make presentations to client stakeholders and internal management

Successful Applicant:

- Master's degree or Ph.D. in Economics, Statistics, Finance, Financial Engineering, or Business preferably with an emphasis on quantitative risk or valuation modeling; additional professional credentials such as FRM, CFA, or PRM are desirable

- At least 5 years experience in development/validation of pricing or valuation models along with strong knowledge of stochastic calculus, numerical methods, finite difference methods

- Extensive background in econometric modeling (regression analysis, time-series modeling, volatility models, cross-sectional models, multivariate models, and Monte-Carlo simulation); knowledge of MatLab, VBA, Bloomberg, and Intex (desirable)

- Solid programming skills in C++ or Java/ any object oriented language, R, Matlab, Python

What's On Offer

Excellent work life balance in a very meritocratic culture with leading MNC. This role would offer you variation, stability and career progression in addition to a highly competitive compensation.

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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