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17/08 Pushkaraj
Quant Finance Recruiter at Sai Consultancy

Views:680 Applications:88 Rec. Actions:Recruiter Actions:15

Senior Role - Pricing Model Quant - BFS (4-7 yrs)

Navi Mumbai/Mumbai Job Code: 1140992

The Quantitative Risk Analyst forms part of the Central Quantitative risk analytics function within FRSPL and works with different stakeholders in risk management process.

- Validation of pricing models of derivatives products across all silos.

- Validating risk sensitivities and risk models for capital calculation.

- Bootstrapping of interest rate curve, volatility curves and credit curves.

- Validating pre-trade structured deals from model validation perspective.

- Evaluating, implementing and optimising risk management processes and systems.

- To be actively involved in calculating and resolving the issues related to Value-at-Risk (VAR)/ Expected Tail Loss (ETL) and other risk measures to manage the bank's risk.

- The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.

- Model implementations using Monte Carlo simulation, tree method and finite difference method.

- Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.

- Knowledge of MatLab, R, Python, Eviews, C++ etc. will be an added advantage

- A CQF/CFA/FRM qualification would be an advantage.

- Attention to details

- Mathematical competence

- Problem solving

- Drive for results

- Verbal and written communication

- Business insight and risk awareness;

- Research Competence

Women-friendly workplace:

Maternity and Paternity Benefits

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