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