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EXPERT - PRICING/VAR MODELING – IIT/NIT

Keywords / Skills : pricing, var modeling, var, derivatives, cds, fixed income, Analytics, Quant modeling

1 - 4 years
Posted: 2018-10-30

Job Description
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 :

Responsibilities :

- 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.


About Company

BLACK TURTLE is a premier talent management consultancy firm. The Indian arm was established in the year 2000. Since then the unit has grown manifold and is ranked among the Top 10 across various services and functions.

BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.

BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
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