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22/11 Pooja Pandey
Lead Consultant at Aurion Solutions

Views:135 Applications:28 Rec. Actions:Recruiter Actions:11

Model Risk Management Role - BFSI (1-8 yrs)

Mumbai Job Code: 1183829

This current role will look mainly into validation of :

- FX models -local volatility, stochastic volatility, mixture models etc with the numerical methods used being PDEs, Monte Carlo and/or

- IR models -BGM, HJM, QGMF, SABR etc with the numerical methods used being PDEs, trees, Monte Carlo

- Good understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)

- Competency in one or more major programming languages (C++, python) required (at the very least exposure to procedural programming)

- Knowledge of elementary algorithms and data structures

- Attention to detail

- Good written communication in English

- In particular, candidate should have worked on derivative modelling/validation in at least one of the below asset class:

a. Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate

b. Equity e.g. Pricing of Exotic Payoffs (like Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston etc.)

c. Credit e.g. Pricing of Credit derivatives, CVA calculation

d. FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Women-friendly workplace:

Maternity and Paternity Benefits

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