Leading Risk Consultancy
Supporting the quantitative model development team, the candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies:-
Derivatives Pricing models - Strong knowledge on one of the asset classes of Rates, FX, Credit, Inflation or Commodities
Counterparty Credit Risk and CVA methodologies, PFE methodology
Key responsibilities include:
Understanding business requirements, regulatory guidelines, determining appropriate modelling methodologies, model development in the proprietary library and integrating the models into existing systems, model documentation and review.
Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics
Exposure to valuation/pricing models across asset classes with experience in different methods used.
Required to work on pricing of products and making use of market data items like interest rate curves and volatility surfaces
Experience and knowledge of regulatory initiatives such as Libor transition would be beneficial.
Strong exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others is required.
Sound knowledge of standard tools and platforms used in the industry
Ability to explain complicated concepts with ease to a wide range of audiences.
Comfortable programming in one or more of the following C++/C#, Java, Python, R
Compeitive salary around VP / Managerial level