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Senior Role - Pricing Model Quant - BFS

4.00 to 7.00 Years   Navi Mumbai   18 Oct, 2022
Sai Consultancy
Job LocationNavi Mumbai
EducationNot Mentioned
SalaryNot Disclosed
IndustryManagement Consulting / Strategy
Functional AreaSales / BD
EmploymentTypeFull-time

Job Description

    The Quantitative Risk Analyst forms part of the Central Quantitative risk analytics function within FRSPL and works with different stakeholders in risk management process.- Validation of pricing models of derivatives products across all silos.- Validating risk sensitivities and risk models for capital calculation.- Bootstrapping of interest rate curve, volatility curves and credit curves.- Validating pre-trade structured deals from model validation perspective.- Evaluating, implementing and optimising risk management processes and systems.- To be actively involved in calculating and resolving the issues related to Value-at-Risk (VAR)/ Expected Tail Loss (ETL) and other risk measures to manage the banks risk.- The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.- Model implementations using Monte Carlo simulation, tree method and finite difference method.- Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.- Knowledge of MatLab, R, Python, Eviews, C++ etc. will be an added advantage- A CQF/CFA/FRM qualification would be an advantage.- Attention to details- Mathematical competence- Problem solving- Drive for results- Verbal and written communication- Business insight and risk awareness; - Research Competence,

Keyskills :
risk managementrisk analysisrisk modelsmonte carlo simulationmodel validationrisk analyticsquantitative riskstochastic calculus

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