Manager - Quant Modelling/Market Risk - Consulting Firm

We have an opening for Modelling role with a leading consulting firm.

JD :

- Developing valuations models for instruments that cannot be priced using standard tools

- Calculating the adjustments related to counterparty credit risk including CVA, DVA and FVA, HW, BDT, HJM models

- SIMM modelling/validation to calculate Initial margin would be a plus

- Understanding of RWA calculation for credit risk and counter party credit risk

- Engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

- Take responsibility for key deliverable on engagements reporting to Engagement managers.

Education/Professional Qualifications:

- Advanced degree in Math, Financial Engineering, Econometrics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or B.tech. + MBA in finance. Professional Certification such as FRM, CFA.

- CQF certification is a must.