Quant Model Development & Validation

Position: Quant Model Development & Validation (5-15 years)

Role:

- Building and Validating Risk Models and derivative models for pricing across asset classes

- Take ownership of individual methodology development from upfront analysis and model description to functional specs and UAT

- Providing Quantitative and Qualitative justifications for modelling choices, assumptions made, data selection, etc.

- Statistical analysis of model choices with historical data or back-testing

- Identifying model limitations and parameter uncertainty

- Quantifying VaR impact arising from use of market data proxies, illiquid market data etc.

- Maintaining a robust risk model control framework

- Check feasibility of implementation approach with IT and Operations

Requirements:

- 5-15 years of experience

- Post Grad/ PhD in Quant Finance/ Maths/ Physics etc.

- Excellent mathematical abilities and an understanding of stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, and numerical algorithms.

- Experience in using large datasets, familiarity with databases and with SQL and SAS

- Good knowledge of Financial Markets, Risk Management, VaR

- Experience of working with Matlab

- Programming experience in C, C++, Java, Javascript, web services is a plus.

- Excellent verbal and written communication skills

Location: Pune

This position is with a Client of Vertex Corporate Services which is a Leading Global Financial Services Giant