Market Risk Quants

Mumbai - India

Monthly Salary: Not Disclosed

Posted on: 7 hours ago

Vacancies: 1 Vacancy

Job Summary

Job Description:

Validation/development of valuation models across asset classes - equities commodities rates credit mortgages
Knowledge of Stochastic Calculus.
Experience with models like Hull & White 1F/2F SABR Local Volatility etc.
Basel norms RWA/capital calculation knowledge
Development testing and validating pricing models using C/Python/R/client-proprietary tools
Basic understanding of Mathematics and statistics in terms of linear algebra probability theory
Basic understanding of fixed income and equity derivatives volatility surfaces interest rate curve construction and Greeks
Knowledge of regulatory guidelines for model risk management like SR 11-7 etc
Good understanding of workings of a Bank (processes Committees systems etc.) and Banking products across fixed income derivatives retail etc.
Understanding of VaR and different VaR modelling and backtesting techniques
Understanding of statistical concepts/time series modelling
Experience in Python/C
Project Management or BA skills with working experience of JIRA and Confluence UAT testing etc

Job Description: Validation/development of valuation models across asset classes - equities commodities rates credit mortgages Knowledge of Stochastic Calculus. Experience with models like Hull & White 1F/2F SABR Local Volatility etc. Basel norms RWA/capital calculation knowledge Devel...