Pricing/VaR Modeling Expert
- We are looking for Pricing experts who are having Strong Exposure on Derivatives, Exotics, CDS, Fixed Income Products.
- We are also fine looking at VaR Modelling Experts.
Job Description :
- Work with Risk Analytics/Quant modeling teams in delivering various analytical projects
- Perform ad-hoc quantitative modeling assignments
- Validate & document models following model risk management guidelines and standards
- Make presentations to client stakeholders and internal management
- Participate in brainstorming sessions and propose hypothesis, approaches, & techniques
Desired Candidate Profile
Required Background :
- 0 - 3 years (across levels) of relevant risk analytics/quantitative analytics experience
- PhD or Post-Graduate Degree in Business/ Statistics/ Mathematics/ Economics/ other quantitative disciplines would be preferred.
- Engineering graduates from premier institutions like an IIT or NIT with relevant work experience are also encouraged to apply.
- Strong knowledge and experience with financial instruments across asset classes and their pricing methodologies
- Worked on market risk model development or validation, enabling a clear understanding of the modeling skills required for regulatory risk calculations viz. VaR, IRC, RNIV / FRTB - ES, NMRF, sensitivity-based risk charge, DRC
- Understanding of approaches to calculate market risk for various traded instruments
- Understanding of broad risk regulatory landscape - development & validation
- Knowledge of quantitative methods - time series analysis, PDE, stochastic calculus
- Strong problem solving and technical skills
- Programming skills - C++ or Java/ any object oriented language, R, Matlab.