Senior Analyst/Manager - Model Development - Market Risk

Position Title: Sr. Analyst / Manager - Model Development

Experience: Senior Analyst-2 (3-5 years) / Manager- 1 (5-8 years)

Location: Bangalore

Model Development :

- Understanding of financial markets and products including derivatives

- Knowledge of principles of derivatives pricing

- Knowledge of stochastic calculus

- Familiarity with Python (mandatory), R, Excel and VBA

-Relevant experience in quantitative modelling

Job Requirements :

- Experience in SIMM model

- Experience in economic capital

- Understanding of counterparty exposure measures such as PFE, EE, CVA

- Assist with risk model development and maintenance

- Develop, maintain and improve counterparty exposure models

- Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.

- Specify and test system changes to implement improvements.

- Investigating issues and resolve quickly

- Previous experience in pricing models is a must

- Good time management and ability to prioritize.