Analytics Role - Model Risk Management - Derivatives/Pricing Models - Financial Services

We are hiring for a leading Financial organisation based at Mumbai & Gurgaon

Position :

Experience : 2-6 years in Model Risk Management - Model Validation for Derivatives, Pricing models, Market risk Models with Global exposure

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

Role & Responsibilities :

- Responsible for Model Governance / Model validation/Model monitoring of Quant/ Market risk models.

- Involved in Validation/development of Market Risk models like Var Models, CCAR, Pricing models,Derivatives Models.

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation

- Development and implementation of effective testing plans and testing code to critically challenge models through empirical analyses and to verify model implementation

- Experience in validation of Derivative Pricing models/ Market Risk Models across various classes

- Prepare validation report and technical documents for the model being validated

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives).

- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated

- Strong statistical analytics skills and knowledge of advanced statistical analysis tools including SAS, Python & R