Looking for People with Model Development/Validation of Market Risk Model / Var Model
Job Description :
- Strong knowledge of mathematical concepts related to pricing derivatives
- Risk management knowledge in at least one area such as market risk (VaR, PFE, Expected Shortfall etc.) and/or counterparty credit risk
- Regulatory knowledge/experience in areas such as Basel, CCAR, FRTB
- Programming knowledge in Python, R or C++
- Prior modelling background, including experience in model development and/or model validation of derivative pricing models and tools, in-house or third party valuation software and corresponding risk management models
- Strong problem solving and solution development skills
- Prior experience in team handling and project management
- Good to have Certifications such as FRM, CQF etc
What are the top 3-5 key points for Market Risk :
- Working knowledge of VaR, PFE, Expected Shortfall etc
- Strong mathematical knowledge for pricing derivatives
- Regulatory knowledge in areas such as Basel, CCAR, FRTB
- Python, R or C++ programming knowledge
- Project management/client handling experience
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