Derivative Pricing- Model Validation

5 months ago

Gurugram, India Evalueserve Full time

Elevate Your Impact Through Innovation and Learning

Evalueserve is a global leader in delivering innovative and sustainable solutions to a diverse range of clients, including over 30% of Fortune 500 companies. With presence in more than 45 countries across five continents, we excel in leveraging state-of-the-art technology, artificial intelligence, and unparalleled subject matter expertise to elevate our clients' business impact and strategic decision-making. We have 4,500+ talented professionals operating across 45 countries, including India, China, Chile, Romania, the US, and Canada. Our global network also extends to emerging markets

such as Colombia, the Middle East, and the rest of Asia-Pacific. Recognized by Great Place to Work® in India, Chile, Romania, the US, and the UK in 2022, we offer a dynamic, growth-oriented, and open culture that prioritizes flexible work-life balance, diverse and inclusive teams, and equal opportunities for all.


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Role

Job Title Sr Analyst/Lead Analyst

Location Gurgaon/ Bangalore

Nature of Job Permanent

Department Risk and Quant Solutions


About Risk and Quant Solutions (RQS)

Risk and Quant is one of the fastest growing practices at Evalueserve. As an RQS team member, you will address some of the world’s largest financial needs with technology proven

solutions. You would solve these banking challenges and improve decision making with award winning solutions.


Click here to know more.


What you will be doing at Evalueserve

  • Performing various initial and /or ongoing model validation tasks independently or in collaboration with senior quants in New York and London – Create approach note and testing plan for validation of the assigned model; Decide upon appropriate methodology
  • for benchmarking and challenger models.
  • Conduct qualitative review of the model; examine documentation for detailed description of the theory, references to the base model, product description, mathematical and technical parameter.
  • Develop and code challenger models for benchmarking and for validation of high-risk
  • model.
  • Review model implementation into the production code; Perform additional testing.
  • Perform direct and indirect validation of calibration in the models.
  • Conduct model risk analysis, stress testing and other tests under different scenarios.
  • Draft a validation report with executive summary with approval/disapproval, restrictions on model usage; summary of findings and remediation plans.


What we’re looking for

  • A master’s or bachelor’s degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Mathematics, Physics or Engineering)
  • Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development.
  • Ability to think out of the box and work on models not encountered before.
  • Programming skills are essential for the role. Strong knowledge in one or more of the following programming languages Python, R, Matlab.; Experience with QuantLib and other
  • open source quant libraries is a plus.
  • Working knowledge of C++ gained in the industry.
  • Ability to articulate ideas and make recommendations.
  • Proficiency in developing and giving presentations.
  • Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels.
  • Strong analytical and interpersonal skills


Disclaimer: The following job description serves as an informative reference for the tasks you may be required to perform. However, it does not constitute an integral component of your employment agreement and is subject to periodic modifications to align with evolving circumstances.

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