Responsibilities and Skills: 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 stochasticprocesses.➢ Validation of models based on regulatory guidelines for market risk, counterparty credit risk, initialmargin etc.
Qualification and Experience:➢ Familiarity with pricing models of capital markets products including exotic derivatives and variousrisk management practices. The candidate should display a thorough knowledge of derivativeinstruments, pricing and valuation as well as risk profiles.➢ Model implementations using regression methods, Monte Carlo simulation, tree method and PDEapproaches.➢ Knowledge of quantitative risk management models, stochastic calculus, statistics and numericalresolution 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.
Pay: ₹1,000,000.00 - ₹2,500,000.00 per year
Work Location: In person
