AVP - Market Risk Model - Derivative Pricing

AVP-Market risk model (Derivative pricing)

Looking for someone having exp in market risk- model validation or model development experience.

Pricing derivatives- mandate (don't need var focused, VAR can only be part)

This is a QUANT ROLE

- Candidate should have experience in developing or validating Pricing- Derivatives/ Product Control and hedging models. This can span across asset class like Interest rate, FX, Equity.

- Candidate should have experience in developing or validating Hull White models, SABR/ Shifted SABR models, HJM models, volatility models like Stochastic / local vol models etc

Python -MUST

Matlab, r, etc -good to have

MASTER DEGREE- MUST

Functional Knowledge:

Knowledge:

- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis

- Proficiency in R, Python, Matlab and MS Office tools like Excel & PowerPoint

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value

- Detailed knowledge of Risk models, performance metrics and risks and associated issues.

- Detailed knowledge of internal procedures and local regulations and those of other country regulators.

Experience:

- Experience with some statistical modelling software / programming language e.g. SAS, Python, R, C++, VBA.

- Experience of developing and reviewing models

- Experience of presenting recommendations to Senior Management.

- Experience of conducting independent model reviews.

Skills:

- Ability to present complex statistical concepts and results to non-technical audiences in a persuasive and compelling manner.

- Team-oriented mentality combined with ability to complete tasks independently to a high quality standard.

Qualifications:

- Master's or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.