Sr Analyst - Model Validation - Inv Bank

We have an opportunity for a Senior Analyst role in Model Validation with a leading investment banking firm in Mumbai.

Please find below JD for the same.

Model Validation

The Model Validation Group is a global team which validates and documents all in-house trading and risk models across all divisions and geographical locations. The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for a particular asset classes / product group.

1. Performing in depth model reviews

2. Preparation of model review documentation

3. Model Risk Analysis

4. Assistance to the Quantitative Risk Management team on ad- hoc projects.

Review models (pricing models and / or risk models): Ensure that the model meets its stated objective. This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

In particular, depending on the asset class 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

Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected.

Abhilasha Sinha