Manager - Market Risk Modeling - Consulting Firm

We are hiring for a leading Consulting organisation based at Bangalore

Position :

Experience : 7-10 years in developing/validating/auditing market risk models and assisting clients on related issues for Derivatives, Pricing models, Interest Rates etc.

Education : Masters / MBA in Economics, Mathematics, Statistics, Finance, Computer science.

Role & Responsibilities :

- Responsible for build/validate and manage quantitative market risk analytical models

- Involved in Market Risk Models development /review calculation of VaR(Historical, Parametric and Monte Carlo), CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool

- Experience in validation of Derivative Pricing models/ Market Risk Models across various classes

- Prepare validation report and technical documents for the model being validated

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives).

- Assist clients to design and implement strategic and functional changes across risk management

- Strong statistical analytics skills and knowledge of advanced statistical analysis tools including Python & R