Market Risk Pricing Quant
5 days ago
Opening with Credit Rating company.
Please find below JD for Market Risk Pricing Quant role.
- In-depth understanding of derivatives and empirical asset pricing theory (Black-Scholes framework, stochastic calculus, jump diffusion, change of measure etc.).
- Sound understanding and experience in the followings:
- VaR, modelling of VaR using different approaches and VaR backtesting
- Interest rate curves, modelling interest rates, calibration of stochastic interest rate models (BK, HW etc.)
- Volatility Modelling (HJM, SABR, LMM frameworks)
- Credit Derivatives modelling Credit intensity, stochastic default & prepayment rates, copula correlations
- Different components of market risk and methodology development/validation of risk and pricing models
- Counterparty risk - CVA, DVA, FVA (using analytical and simulation approach)
- Must have:
- Background in computational/quantitative/financial engineering.
- Master's/PhD in Computational Math/Financial Engineering/other quantitative disciplines.
- Sound knowledge of computer programming at least any one among Python, R, C++.
- Excellent communication and time management skills.
- Certifications like CQF and FRM preferred.
- Ability to program in multiple languages/platforms preferably in OOPs.
- Experience in Validation **SR-11-7**
Role:
System Analyst
- Salary:
Not Disclosed by Recruiter
- Industry:
Analytics / KPO / Research
- Functional Area
IT & Information Security
- Role Category
IT Infrastructure Services
- Employment Type:
Full Time, Permanent
- Key Skills
python
Market Risk
frm
backtesting
Skills highlighted with ‘‘ are preferred keyskills
- Education
- PG:
MBA/PGDM in Any Specialization
Company Profile
- TopGear Consultants Pvt Ltd.
-
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