Job Description
Job Location : Mumbai
Summary : The role forms part of the model validation team within Global Markets team of RMB. The model validation team is also part of the Integrated Risk Analytics team at FRSPL.
Job Profile
• Validation of pricing models of derivatives products across all silos such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.
• Validation of components XVAs for structured deals.
• Validating pre-trade structured deals from model validation perspective.
• Validation of interest rate curves including ARR/RFR curves,
• Validation of calibration parameters for the various components under different stochastic processes.
• Validation of models based on regulatory guidelines for market risk, counterparty credit risk, initial margin etc.
Skills And Knowledge
• Relevant experience of 4+ years.
• The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.
• Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches.
• Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.
• Knowledge of VBA, SAS, MatLab, R, Python, Eviews, C++ etc. will be an added advantage
• A CQF/CFA/FRM qualification would be an advantage.
Key Competencies
• Attention to details
• Mathematical competence
• Problem solving
• Drive for results
• Verbal and written communication
• Business insight and risk awareness;
• Research Competence
,
This job is provided by Shine.com
Summary : The role forms part of the model validation team within Global Markets team of RMB. The model validation team is also part of the Integrated Risk Analytics team at FRSPL.
Job Profile
• Validation of pricing models of derivatives products across all silos such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.
• Validation of components XVAs for structured deals.
• Validating pre-trade structured deals from model validation perspective.
• Validation of interest rate curves including ARR/RFR curves,
• Validation of calibration parameters for the various components under different stochastic processes.
• Validation of models based on regulatory guidelines for market risk, counterparty credit risk, initial margin etc.
Skills And Knowledge
• Relevant experience of 4+ years.
• The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.
• Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches.
• Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.
• Knowledge of VBA, SAS, MatLab, R, Python, Eviews, C++ etc. will be an added advantage
• A CQF/CFA/FRM qualification would be an advantage.
Key Competencies
• Attention to details
• Mathematical competence
• Problem solving
• Drive for results
• Verbal and written communication
• Business insight and risk awareness;
• Research Competence
,
This job is provided by Shine.com
💡 Quick Summary
Seeking a career-building opportunity? The SAVE Quant Analyst | Investment Bank position is now open for candidates interested in the Bank Jobs sector. This role in Mumbai offers a professional environment and growth potential.
Requirement Snapshot: Candidates should possess basic communication skills, a proactive attitude, and the ability to work in a team. Experience in Bank Jobs is a plus.