Model Validation IRFX Mumbai

Location
Mumbai
Industry
Banking, Financial Services & Insurance
Contract Type
Permanent
Published
Contact
Reference
29-3-7601
Academic title
MBA/PGDM
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Job description
  • 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.
  • Ensure model suitability in terms of pricing, risk management of in scope products
  • Preparation of model review documentation
  • Model risk analysis
  • Ongoing Model Performance Monitoring
  • Validation of Model reserve calculations implemented in Front Office systems
  • This current role will look mainly into validation of
  • FX models –local volatility, stochastic volatility, mixture models etc with the numerical methods used being PDEs, Monte Carlo and/or
  • IR models –BGM, HJM, QGMF, SABR etc with the numerical methods used being PDEs, trees, Monte Carlo
Requirements

Mandatory

Qualification, Experience & Skills:

  • Good understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference)
  • Competency in one or more major programming languages (C++, python) required (at the very least exposure to procedural programming)
  • Knowledge of elementary algorithms and data structures
  • Attention to detail
  • Good written communication in English
  • In particular, candidate should have worked on derivative modelling/validation in at least one of the below asset class:

a. Interest Rate e.g. Libor Market Model, HJM, Models of the short-rate

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

c. Credit e.g. Pricing of Credit derivatives, CVA calculation

d. FX e.g. Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

Other notes
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