Mancer Consulting Services
Location
Gurgaon | India
Job description
Quantiative Modeling Market Risk Validating all financial models, including pricing and risk models (including Stress). Model development/validation/audit/review of market risk models for Pricing, Analytics, Stress Testing, Risk management, etc. Revalidation of all material Markets and Treasury models on a periodic basis. Mandatory Skills Experience in valuation of derivatives or structured products, development or validation of pricing models across various asset classes viz., Equities, Credit, IR, FX, Commodities, Mortgages, etc. Additional experience in Value at Risk computations and Var backtesting preferred. Strong analytical skills. Excellence in stochastic calculus, interest rate models, time series analysis, simulation techniques, option pricing theory (quant models for pricing and hedging derivatives). Programming skills: Experience with a programming language, e.g. C++/C#/Python. 5 + years’ Experience in quantitative risk management at a bank. Experience of 3 + years in derivatives pricing and in the validation of models across traded or non-traded market risk would be highly desirable.
Qualifications: Advanced degree in Financial Engineering, Math, Statistics, Economics, or any other Analytical disciplines from IIT/ IIM /ISI OR any other tier1 institute. CFA/ CQF Certification.Job tags
Salary
