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18/07 Richa
Manager at Black Turtle

Views:367 Applications:104 Rec. Actions:Recruiter Actions:74

Quant Role - Market Risk (8-15 yrs)

Bangalore Job Code: 834712

- Strong experience/knowledge in at least some of the following modeling areas (in quant space)

- Pricing and valuation models


- Derivatives (across one or more asset classes)

- Market Risk Scenarios and Stress Testing

- Interest Rate Curve Generation

- Worked on Market Risk Models like to develop/review the calculation of VaR(Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool (SAS/R/ Python)

- Strong experience/knowledge in at least some of the following business areas

- Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.

- Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.

- Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.

- Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.

- Keep up to date with industry and academic model research.

- Assist clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office, and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.

- Programming and Algorithms: R, Python, Sas, VBA etc.

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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