Model Validation Role - Quants

Job Profile

- Validation of pricing models of derivatives products across all silos such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.

- Validation of components XVAs for structured deals.

- Validating pre-trade structured deals from model validation perspective.

- Validation of interest rate curves including ARR/RFR curves,

- Validation of calibration parameters for the various components under different stochastic processes.

- Validation of models based on regulatory guidelines for market risk, counterparty credit risk, initial margin etc.

Skills and Knowledge

- Familiarity with pricing models of capital markets products including exotic derivatives and various risk management practices.

- The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.

- Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches.

- Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.

- Knowledge of VBA, SAS, MatLab, R, Python, Eviews, C++ etc. will be an added advantage

- A CQF/CFA/FRM qualification would be an advantage.