• Review and validate derivative pricing and risk models across asset classes.
• Develop and validate risk modelling frameworks for both market risk and counterparty credit risk.
• Development and Implementation of benchmark models and methodologies in C++, Python, R etc.
• Perform independent model testing and assess assumptions, limitations, and model framework.
• Develop, Implement, and backtest regulatory models such as IRRBB, FRTB, RNIV and VaR/ES.
• Prepare coherent and comprehensive documentation reports.
• Lead and mentor the team of Analysts.
• Provide in-depth technical knowledge in existing and prospective client meetings.
• Take responsibility for analysis, presentations, product demonstrations and fully manage the proof of concepts and full-fledged projects.
• Preparation and delivery for detailed presentations and workshops.
• Ability to deliver presentations and demonstrations to prospects.
• Be able to articulate solution offerings and the scope and approach in responses for RFIs/RFPs.
Required Qualifications
• Master in Financial Engineering / Statistics / Economics / Mathematics or B.Tech. / MBA Finance from Tier 1 college.
• Certifications such as CFA, FRM, CQF, IIQF is a plus.
• Good knowledge of one or more asset classes (Equity, Rates, FX etc.).
• Good experience in market risk / model validation role.
• Robust Financial Mathematics for derivative pricing; Monte Carlo, PDEs and numerical integration.
• Knowledge in advanced derivatives modelling and knowledge of volatility models preferred.
• Knowledge of market risk regulations and experience in implementation of regulatory models.
• Strong proficiency in one or more of the following programming languages: C++, Python, R, MATLAB.
• Strong regulatory understanding such as BASEL, CCAR, DFAST, CECL, SR-11/7 etc.
• Understanding of market trends and demands in the financial services sector an