Quant Modeling/ Quantitative Analyst

Description :

We are hiring for a leading Investment bank based at Mumbai

Experience :

5-9 yrs in Model Development/Model Validation for financial Services with good Python programming skills

Education : Masters / MBA; in Economics, Mathematics, Statistics, Finance, Computer science From Tier 1 with good knowledge inEquity pricing models.

Responsibilities:

The candidate will work specifically on validating Equity pricing models. The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.

• Independently validate pricing and risk models used for valuation, risk management, and regulatory capital calculations of Equity Derivatives products, including vanilla and exotic options, structured products, variance swaps, correlation products, and hybrid instruments.
• Review model assumptions, mathematical formulations, numerical methods, calibration frameworks, implementation, limitations, and appropriateness of use for pricing and risk management purposes.
• Assess theoretical soundness of pricing methodologies including stochastic volatility models, local volatility models, jump-diffusion models, and correlation frameworks.
• Perform independent quantitative testing, benchmarking, sensitivity analysis, stress testing, back-testing, and model performance reviews to identify and quantify model risks.
• Evaluate model calibration approaches, market data dependencies, and valuation adjustments associated with equity derivatives portfolios.
• Prepare comprehensive validation reports, technical documentation, and remediation recommendations in accordance with regulatory and internal model risk management standards.

4.Hand on experience in Model Development and/or Model Validation (core development experience preferred)/Model Implementation.

Goode Knowledge in Python