AM/Manager/AVP - Model Validation - Market Risk - VAR/Pricing/RNIV

AVP - Pricing Model/Risk Management

We are hiring for a leading Financial organization based at Delhi/NCR/ Mumbai/ Hyderabad

Position :

Experience : 4-9 yrs in Quant/derivative pricing Model Validation/Model review - For financial Services with good Python, SAS programming skills

Education : B.Tech/Masters/MBA in Economics, Mathematics, Statistics, Finance, Computer science

Role & Responsibilities :

- Performing independent validation of wide range of pricing/ VAR/ Rniv and risk models across asset classes like Equity, Fixed Income, Interest Rate, Credit Derivatives, OTC products, Swaps, etc

- Responsible for performing and documenting analysis and testing of EOD pricing Models, Market risk pricing models, counterparty credit risk pricing models, related finance models

- Responsible for end-to-end independent model review and validation engagements

- Making Model Validation Report documentation

-Develop or validate equity, FX, and hybrid based exotic pricing models with a focus on conceptual assessment and assumptions testing.

- Perform quantitative analysis focused on Profit Attribution Analysis (PAA), Stress Testing and Non- modellable Risk Factors (NMRFs) for the models being validated.

- Assess valuation methodology for fixed income instruments and derivatives on interest rates, foreign exchange, equity, and credit.

- Design, implement and critique on calibrations of parametrized valuation models such as Black Scholes, Hull & White, SABR, Heston, etc.

- Assess IPV methodology for external clients covering products across all asset classes.