Vice President - Pricing Model Validation

We have a Vice President role with our client in Mumbai.

JD:

- Model validation of Front-Office pricing models for Fixed Income, with focus on Interest Rates, Inflation and Emerging Markets; testing and documentation following the model validation guidelines of SR11-7.

- Timely delivery of model reviews with effective challenge to Front-Office and raise of identified issues.

- Independent model improvement, building up our modeling framework and Model Validation library.

- Review of New Products: conducting analysis for Pre-Trade Approvals.

- Liaising and collaborating with partners across Front-Office quants and Trading, Market Risk and Product Control.

- Conducting research for establishing methodologies that estimate model risks.

Profile

- Relevant past experience in Model Validation, Front Office Quantitative Analysis or Quantitative Risk Management, ideally with focus on yield curve models, interest rate exotics and/or inflation models.

- Deep knowledge of derivatives pricing models, stochastic calculus, numerical algorithms and products.

- Ideally educated to PhD or Master level in a quantitative topic.

- Experience with a relevant programming language: C++, F#, R or Python.

- Team-player with good interpersonal skills, especially in terms of communication, documentation, and partner management.

Incase you wish to explore the opportunity, please feel free to write to me.