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Job Code
842338
Model Validation Role - Pricing Models
Role :
- Model Risk Analysis
- Preparation of model review documentation
- The current role will specifically look into Validation of risk models (counterparty exposure, VaR etc)
Qualification :
- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected
- Familiarity with econometrics or general statistics is desirable
- In particular, we are looking for candidates with knowledge / experience in one or more of the following areas :
a. Interest Rate: Libor Market Model, HJM, Models of the short-rate
b. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)
c. Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation
d. FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)
e. Risk Models: Value at Risk, Counterparty Risk Exposure models
f. Stress Testing models
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Posted By
1742
JOB VIEWS
380
APPLICATIONS
77
RECRUITER ACTIONS
See how you stand against competition
Pro
View Insights
Posted in
Banking & Finance
Job Code
842338
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