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  • 1 - 4 Years
  • Posted : above 1 month

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.

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

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.

Profile Summary:

Employment Type : Full Time
Deadline : 04th Aug 2019

Key Skills:

Company Profile:

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