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
Didn’t find the job appropriate? Report this Job
Download the iimjobs app to
apply for jobs anywhere, anytime
Download on
App Store
Get it on
Google Play
Scan to Download