Vacancy Description
- 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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