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Recruiter at hCapital Business Consulting Private Limited
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Model Validation Role - Pricing Models - KPO (2-6 yrs)
Model Validation Role - Pricing Models
Role :
- Model Risk Analysis
- Preparation of model review documentation
- The current role will specifically look into Validation of risk models (counterparty exposure, VaR etc)
Qualification :
- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
- Familiarity with econometrics or general statistics is desirable
- In particular, we are looking for candidates with knowledge / experience in one or more of the following areas :
a. Interest Rate: Libor Market Model, HJM, Models of the short-rate
b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
e. Risk Models: Value at Risk, Counterparty Risk Exposure models
f. Stress Testing models
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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