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14/09 Ankita Chauhan
HR at Nomura Services

Views:470 Applications:92 Rec. Actions:Recruiter Actions:2

Nomura - Model Reserves Analyst - Model Validation (0-3 yrs)

Mumbai Job Code: 1154711

Role & Responsibilities:

- Validation of Model Reserve Methodologies implemented in Front Office systems

- Preparation of review documentation for these validations

- Design and running of Model Performance Monitoring like

- Regression Tests

- Smoothness Tests

- Greek Convergence Tests

- Boundary Tests

- Gradually, start contributing to validation of models in different asset classes e.g. rates, fx, credit derivatives and CVA

Key Skills:

Qualification, Experience & Skills:

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

- Strong mathematical skills

- Competency in one or more major programming languages (C++, python) required

- Knowledge of elementary algorithms and data structures

- Attention to detail

- Good written communication in English

- In particular, candidate should have basic understanding of 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.)

e. Risk Model Validation e.g. Var/ Counterparty Exposure 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.

Women-friendly workplace:

Maternity and Paternity Benefits

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