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25/10 Maaz Ansari
Deputy Manager at ABC Consultants

Views:4103 Applications:76 Rec. Actions:Recruiter Actions:74

Vice President - Model Analysis (7-12 yrs)

Mumbai Job Code: 758009

Primary Responsibilities - 

- Quantifying model performance with an in-depth analysis of various model characteristics

- Heavy-duty empirical data analysis to identify potential model weaknesses

- Design and implement Python-based scripts within the firm's proprietary framework to facilitate model investigations and associated data analysis

- Investigate potential model issues.

Essential Skills - 

- Knowledge of Derivatives: Strong expertise on derivatives theory with very good understanding of Greeks (Delta, Gamma, Theta etc.) and other risk components.

- Programming: Good in algorithms and ability to code in high-level languages such as Python.

- Communication: Excellent written and verbal communication skills as the frequent sync-ups with the New York team would be required.

Desired Skills:

- Quantitative and Analytical Skills: Good knowledge in probability theory, statistics, econometrics and numerical analysis. Highly analytical bent of mind.

- Mathematical Finance: Experience with Stochastic calculus (SDE, PDE, FE etc.), Numerical algorithms (root finding, optimization etc.), statistical modeling (factor models, copula, Bayesian etc.), Time series analysis (ARIMA, GARCH, state space models)

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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