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09/07 Priyanka S
Recruiter at hCapital Business Consulting Private Limited

Views:1382 Applications:278 Rec. Actions:Recruiter Actions:61

Model Validation Role - Pricing Models - KPO (2-6 yrs)

Mumbai Job Code: 832707

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

Women-friendly workplace:

Maternity and Paternity Benefits

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