Derivative Pricing and Market Risk Model Validator
Location
Mumbai | India
Job description
Position: Derivative Pricing and Market Risk Model Validator
Experience: 4-6 years of experience in model validation/ model development (MFE/CQF/MBA preferred).
Key Roles and Responsibilities
- Validating pricing models for derivatives, including both Vanilla and Exotic structures
- Validation of Market risk and Potential Future Exposure (PFE) models.
- Providing subject matter expertise in derivative pricing and market risk modelling.
- Staying current with industry regulations and changes to ensure compliance.
- Conducting in-depth scenario analysis and sensitivity testing for model robustness.
- Collaborating with cross-functional teams to enhance model performance and accuracy.
- Preparing and presenting detailed reports on model validation findings to senior management.
- Contributing to the continuous improvement of model validation processes.
- Expertise in one programming language (Python/R/C++). Preferably Python
Key skills would be Derivative Pricing validation, Exotic pricing Validation, Volatility modelling, PFE modelling/Validation, CVA/XVA Modelling/Validation, Python.
Job tags
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