Job Details

1. Work with Market Risk Modelling team in delivering various analytical and advisory projects

2. Developing and validating Valuation/Pricing models for various asset classes

3. Perform model testing performance, stability; assess the models functional soundness

4. Also, work on market risk, liquidity risk and ALM models

5. Understand latest regulatory guidelines and advise clients on their implementation

6. Make presentations to client stakeholders and internal management

• 1-5 years (across levels) of relevant pricing/ valuation models
• Strong preference for candidates with equity derivatives pricing background
• Strong knowledge of stochastic calculus, numerical methods, finite difference methods
• Having worked on various pricing models using SABR, local volatility, Heston, etc.
• Understanding of approaches to calculate market risk for various traded instruments
• Understanding of broad risk regulatory landscape development & validation
• Strong problem solving and technical skills
• Programming skills: C++ or Java/ any object oriented language, R, Matlab, Python
• Strong verbal and written communication skills
• Certifications such as CQF, FRM and CFA will be a plus
• Experience (Desired) with Vendor tools such as Calypso, Murex, FINCAD, RiskMetrics, QRM, Aladdin, APT.