Senior Analyst/Associate - Quantitative Finance - Model Documentation

Responsibilities

Individual will perform as a contributing member in:

- Perform in depth review of pricing/risk-management models. Reviewing and updating model documentation

- Perform Model Risk Analysis. Checking assumptions underlying the model and its implementation. Ensure that the model's objectives are met

- Collaborate with Quant teams on various projects including design and development of risk frameworks

Requirements:

Required Skills:

- Strong Quantitative skills.

Knowledge of following is compulsory:

- Stochastic calculus (Markov processes, Ito's lemma, Martingales etc.) & Risk Neutral Pricing

- Numerical Methods (Finite Difference, Monte Carlo Simulation etc.)

- Knowledge of Quantitative Finance is compulsory including:

- Vanilla and Exotic Derivative Products (Options, Futures, Swaps, Exotics such as Cliquets, Rainbows, Cappuccinos/ Stellars, Share Repurchases, Timer Options, Variance Swaps, Quantos. Compos, CDOs, Credit Default Swaps)

- Models (Depending on the particular asset class):

Rates: Libor Market Model, HJM etc

FX & Equity: Black Scholes, Local Volatility, Stochastic Volatility Models

Credit: CVA/DVA calculation

VAR etc

- Strong Written and Oral Communication

- Attention to details

- Willingness to learn

- Strong work ethic

- Team player

Desired Skills:

- Experience in C++ and/or Python

- Speaking / presentation skills in a professional setting