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Recruitment Team at Allegis Group
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Manager/Senior Manager/AVP - Pricing Model Validation - BFS (5-11 yrs)
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
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