Derivative Pricing Model Role - BFSI

Derivative Pricing Model

- Previous experience (for around 5 years) on derivative pricing models gained in a development or validation role In rates or hybrids area.

- Will challenge model assumptions, mathematical formulation, and implementation;

- Will conduct independent testing to access model accuracy and robustness under different scenarios and market conditions;

- Will assess and quantify model risks due to model limitations, communicate with Strats on the limitation, and agree on compensating controls

- Will communicate the model usage control with key stakeholders, including MCO, MRM, and VC

- Needs to have in-depth knowledge of mathematical finance, derivative pricing, and numerical techniques.

- Python or scalar programming experience will be a plus but not critical