Model Validation

Ikya Human Capital Solutions Pvt Ltd
  • Mumbai
  • 18-30 lakh
  • 3-6 years
  • Views
  • 26 Dec 2016

  • Risk Management

  • Investment Banking
Job Description

Review models (pricing models and / or risk models): Ensure that the model meets its stated objective. This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

In particular, depending on the asset class we are looking for candidates with knowledge / experience in one or more of the following areas:

- Libor Market Model, HJM, Models of the short-rate...

- Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

- Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

- Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

- Value at Risk, Counterparty Risk Exposure models

Understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and strong experience in C++ programming.

Educational Pedigree : Masters in financial engineering) or experience in derivative model related, or PhD in quant subject.

B. Tech. or dual degree specializing in Mathematics / Physics only.

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