Rates Pricing Model Validation (VP)

Mumbai, Maharashtra - Model validation of Front-Office pricing models for Fixed Income, with focus on Interest Rates, Inflation and Emerging Markets; testing and documentation following the model validation guidelines of SR11-7. Timely delivery of model reviews with effective challenge to Front-Office and raise of identified issues. Independent model improvement, building up our modeling framework and Model Validation library. Review of New Products: conducting analysis for Pre-Trade Approvals. Liaising and collaborating with partners across Front-Office quants and Trading, Market Risk and Product Control. Conducting research for establishing methodologies that estimate model risks. Profile Relevant past experience in Model Validation, Front Office Quantitative Analysis or Quantitative Risk Management, ideally with focus on yield curve models, interest rate exotics and/or inflation models. Deep knowledge of derivatives pricing models, stochastic calculus, numerical algorithms and products. Ideally ...

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