The role will require working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates.
The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies:-
Counterparty Risk and CVA methodologies
IMM and Risk-based margins
Enterprise-wide models including Operational risk and Economic Capital
Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modeling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review.
Good Mathematical and numerical skills with excellent kno...
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