Sqa Market Risk

4 days ago

Pune, India Greenwich Associates Full time

Job title Market Risk Pricing Quant Job Requirement - 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 : o VaR, modelling of VaR using different approaches and VaR backtesting o Interest rate curves, modelling interest rates, calibration of stochastic interest rate models (BK, HW etc.) o Volatility Modelling (HJM, SABR, LMM frameworks) o Credit Derivatives modelling - Credit intensity, stochastic default & prepayment rates, copula correlations o Different components of market risk and methodology development/validation of risk and pricing models o Counterparty risk - CVA, DVA, FVA (using analytical and simulation approach) Skills required - 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. About CRISIL GR&RS: CRISIL Global Research and Risk Solutions (GR&RS) is the largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity players and asset management firms. CRISIL GRA operates from research centers in Argentina, China, India and Poland, providing research support across several time zones and in multiple languages to global organizations. It has deep expertise in the areas of equity research, fixed income research (covering global economies, 150 global sectors and over 3000 global companies), valuations, pricing complex derivatives, structured finance, risk management, actuarial analysis and business intelligence.

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