Model Validation

7 days ago


Mumbai, Maharashtra, India CRISIL Full time
Consultant at a VP level with 5+ years min experience in derivative pricing models.

Job requirements:

  • Previous experience (for around 5 years) on derivative pricing models gained in a development or validation role In rates or hybrids area.
  • Will challenge model assumptions, mathematical formulation, and implementation;
  • Will conduct independent testing to access model accuracy and robustness under different scenarios and market conditions;
  • Will assess and quantify model risks due to model limitations, communicate with Strats on the limitation, and agree on compensating controls
  • Will communicate the model usage control with key stakeholders, including MCO, MRM, and VC
  • Needs to have indepth knowledge of mathematical finance, derivative pricing, and numerical techniques.
  • Python or scalar programming experience will be a plus but not critical

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