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22/10 Radhika Pradeep
Recruitment Team at Allegis Group

Views:2923 Applications:130 Rec. Actions:Recruiter Actions:117

Manager/Senior Manager/AVP - Pricing Model Validation - BFS (5-11 yrs)

Mumbai Job Code: 756771

Responsibilities:

- Provide theoretical analysis and review of derivatives pricing models.

- Implement independent benchmarks of pricing models in a managed C++ or Python library.

- Perform stress tests and portfolio analysis

- Experience in processing financial data.

- Produce validation reports in Latex to present test results and analysis in coherent way.

- Complete assigned projects to meet regulatory and business deadlines.

- Collaborate with Model Risk colleagues in London and globally.

- Build relationship with stakeholders and business associates, internal & external.

Education and Experience:

- Relevant university degree (PhD or Masters) in a Numerate subject. Ideal candidates from IIT/IISc/TIFR/ NITs.

Competencies:

- Specialized option pricing model expertise necessary.

- Strong quantitative background with both analytical and numerical skills.

- Familiar with probability, differential equations, numerical methods and stochastic calculus.

- Proficiency in C/C++ or Python.

- Experience in implementing Monte-Carlo and finite difference methods and other numerical algorithms.

Personal characteristics:

- Self motivated, persistent and focused with the ability to pay attention to detail and ensure that high quality work is consistently produced.

- Ability to work independently

- Able to cope well under pressure and tight deadlines

Women-friendly workplace:

Maternity and Paternity Benefits

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