Roles and Responsibilities
- Develop and maintain VaR models for various products, including IRS, TRS, and other derivatives.
- Collaborate with traders to understand their requirements and develop customized VaR solutions.
- Conduct backtesting of VaR models on historical data to ensure accuracy and robustness.
- Provide insights into model performance and recommend improvements where necessary.
- Ensure compliance with regulatory guidelines and internal policies related to VaR modeling.
📌 MR Quant Trading Book Quants (Mumbai)
🏢 EY
📍 Mumbai