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Senior Principal Consultant at Sokkai Services
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Manager/Chief Manager - Forex/Derivative/Treasury/Finance - Valuation/Risk Management - Bank (4-10 yrs)
Experience: 4 - 9 years in the area of valuation/risk management of derivatives/treasury/finance
Skill sets: Deep understanding of financial products/derivatives; understanding of financial markets (interest rates, exchange rate, fixed income); quantitative and analytical skills
Job Location: Mumbai
Description of role
- Creation of valuation/ pricing models for foreign exchange and interest rate derivatives
- In depth understanding of interest rate and exchange rate modelling
- Reviewing and validating models used for pricing/marking to market/risk management of derivative products - understanding the mathematical construct of the models
- Reviewing market data inputs used for valuation of such instruments
- Configuration of Murex system for valuation and working along with front office/middle office/ IT departments for Murex version migration projects
- Interacting with auditors and RBI officials to address all queries/clarifications with respect to valuation of derivatives
- Engaging with external entities for having all models validated externally on an annual basis
- Dynamic monitoring of market developments and attribution of P/L movements in the derivatives portfolio to movements in underlying risk factors
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