VP/ED - QR & Model Development - Valuation Control Team - Bank

A leading global bank in Mumbai is looking out for a VP/ED for their Valuation Control Team. The group is responsible for independent price verification and determination of pricing and fair value adjustments required to ensure that fair value estimates for the assets and liabilities that are recorded on the balance sheet at fair value are appropriate.

Responsibilities - 

- Documentation and Compliance - Understanding of internal and regulatory guidelines on Model assessment and Documentation; Support the valuation team in all topics related to model agenda

- Model/Tool Development - Build tools for price testing, tools to calculate model limitation adjustments, tools to analyze price dynamics of actual transactions on a cumulative and real-time basis for use against independent prices, etc.

- Thought Leadership/Methodology: Work alongside the valuation team to devise and implement sophisticated and consistent methodology using the calculation of valuation adjustments, VA stress for use within the CCAR framework, etc.

- Programming: Experience in working/creating customized C++ libraries/Python

- Software Engineering: Work on full-range of programming tasks - problem analysis, solution determination, code design and development, integration, test, modification, and documentation

Skills - 

- Graduate or Postgraduate from a Tier 1 institute in computer science or mathematics background

- At least 7-8 years of experience in Quant Research and Model Development

- Knowledge of C++/Python

- Understanding of financial products - their valuations and risks associated with them