
Market Risk Pricing Quant
16 hours ago
**Roles and Responsibilities**
- Opening with Leading Rating Company.**Job Description**:
- 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.Role:
BFSI, Investments & Trading - Other
- Salary:
Not Disclosed by Recruiter
- Industry:
Analytics / KPO / Research
- Functional Area
BFSI, Investments & Trading
- Role Category
BFSI, Investments & Trading - Other
- Employment Type:
Full Time, Permanent
- Key Skills
Market Risk
Pricing
Quant
Skills highlighted with ‘‘ are preferred keyskills
- Education
- UG:
Any Graduate
Company Profile
- TopGear Consultants Pvt Ltd.
-
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