VP - Model Validation - Investment Bank - IIT/BITS/NIT

Top MNC investment bank hiring for Model Validation profile Mumbai based at Vice President level.

Job Location : Mumbai

Designation: VP

Set Skills: Model Validation / Pricing model / Model Development / Quantitative developer / Quant developer / Model Reviews

Please note: Candidates from similar domain need apply.

Job description:

Key Responsibilities:

- Performing in depth model reviews

- Preparation of model review documentation

- Model Risk Analysis

- 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.

Key Requirements:

Experience : Overall 7 - 12 years

Qualification : PhD / M. Sc (Financial Engineering / Statistics / Mathematics) / M.Tech / B.Tech from (IIT / BITS / NITS)

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

In particular, depending on the asset class we are looking for candidates with knowledge / experience in one or more of the following areas:

- Interest Rate: Libor Market Model, HJM, Models of the short-rate

- Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

- Credit: Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

- FX: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

- Risk Models: Value at Risk, Counterparty Risk Exposure models