18/12 Radhika Pradeep
Recruitment Team at Allegis Group

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

Mumbai Job Code: 776997

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

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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