Associate/Senior Associate - Model Validation - BFSI

We have an urgent opening with one of our BFSI client for Mumbai location.

We are looking for candidates into Model validation who have basic understanding of Stochastic calculus, Numerical techniques for derivatives pricing (Monte Carlo/Finite Difference) and have experience in reviewing of Pricing Models or Risk Models,Model risk Analysis & Candidates who have Experience/Knowledge in one of the following areas:

Interest Rate: Libor Market Model, HJM, Models of the short-rate...

Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Risk Models: Value at Risk, Counterparty Risk Exposure models