• Market Risk Role Model Development Validation BFS Jobs in Bangalore,India - 25309490

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  • 2 - 10 Years
  • Posted : above 1 month

Job Description:

Service Line

Risk analytics team works with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to Market risk model development & validation, and derivatives pricing We are recruiting for an Exec / Senior / Asst Manager with expertise in the area of Market risk modelling and asset pricing

Skills Required

Deep understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus etc)

- Understanding of counterparty risk - CVA, DVA, FVA (using analytical and simulation approach)

- Understanding of VaR, modelling of VaR using simulation, historical and parametric approach

- Understanding of interest rate curves, modelling interest rates, calibration of stochastic interest rate models (BK, HW etc)

- Independently able to price derivative instruments of vanilla and exotic payoff structures (swaps, options, CDS etc) using analytical, simulation, trees etc

- Able to validate market data, understanding of different data sources including Bloomberg, Reuters etc

- Independently able to validate pricing, market risk models and the underlying concepts

- Understanding of quantitative methods like bootstrapping, numerical simulation, trees and their application in quantitative finance

- Understanding different components of market risk and development/validation of risk models

Must have

- Background in computational/quantitative/financial engineering

- Masters in Computational Math/Financial Engineering/other quantitative disciplines

- Sound knowledge of computer programming (Python, R, C++, SAS etc) and problem solving

- Excellent communication and time management skills

- Co-ordinate with different stakeholders, across geographies

Good to have

- Certifications like FRM, CFA, CQF

- Experience with Bloomberg Terminal (functions like SWPM, CDSW, ICVS among others) and FINCAD

- Ability to program in multiple languages/platforms

Profile Summary:

Employment Type : Full Time
Salary : Not Mentioned
Deadline : 03rd Jun 2020

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