Team Lead at Techsist Solution
Views:10124 Applications:493 Rec. Actions:Recruiter Actions:299
Market Risk Role - Model Development & Validation - BFS (2-10 yrs)
Risk analytics team works with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to Market risk model development & validation, and derivatives pricing We are recruiting for an Exec / Senior / Asst. Manager with expertise in the area of Market risk modelling and asset pricing.
Skills Required :
Deep understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus etc.).
- Understanding of counterparty risk - CVA, DVA, FVA (using analytical and simulation approach).
- Understanding of VaR, modelling of VaR using simulation, historical and parametric approach.
- Understanding of interest rate curves, modelling interest rates, calibration of stochastic interest rate models (BK, HW etc.)
- Independently able to price derivative instruments of vanilla and exotic payoff structures (swaps, options, CDS etc.) using analytical, simulation, trees etc.
- Able to validate market data, understanding of different data sources including Bloomberg, Reuters etc.
- Independently able to validate pricing, market risk models and the underlying concepts.
- Understanding of quantitative methods like bootstrapping, numerical simulation, trees and their application in quantitative finance.
- Understanding different components of market risk and development/validation of risk models.
Must have :
- Background in computational/quantitative/financial engineering.
- Master's in Computational Math/Financial Engineering/other quantitative disciplines.
- Sound knowledge of computer programming (Python, R, C++, SAS etc.) and problem solving.
- Excellent communication and time management skills.
- Co-ordinate with different stakeholders, across geographies.
Good to have :
- Certifications like FRM, CFA, CQF.
- Experience with Bloomberg Terminal (functions like SWPM, CDSW, ICVS among others) and FINCAD.
- Ability to program in multiple languages/platforms.
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.