Founder/Chief Consultant at Credence HR Services
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Vice President - Pricing Model Validation (8-14 yrs)
We have a Vice President role with our client in Mumbai.
- 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.
- 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.
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