VP - Pricing Derivative/Model Validation - Quantitative Risk Management - Investment Bank

We have an urgent opening for Quantitative Risk Management - Model Validation for Pricing Derivative

Role & Responsibilities:

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 particular asset classes / product groups.

- 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.

- The current role will specifically look into following areas

- Approval of model enhancements of the existing CVA model and also in Credit Derivatives models

- Re-approvals and continuous model performance monitoring of CVA and Credit models

- Monthly calculation of model reserves for CVA

- Trade approvals for credit hybrids, based on credit specific considerations (e.g. rate-credit correlations)

- Supporting finance in calculating model reserves for Wrong Way Risk

Mandatory Domain

Qualification, Experience & Skills:

- Basic understanding of 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 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

If you find it is suitable then please send me your updated CV with below detail or provide me a reference .

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Handling a team of :

Tejashree Waradkar
Team Leader
Black Turtle.
Dir No: +91 22 66848548|Mob No .8454843560