Market Risk Associate with Quant Models

Role & responsibilities

Experience & Skills:

Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with Python programming languages is expected.

Familiarity with econometrics or general statistics is desirable

General financial products knowledge

In particular, we are looking for candidates with prior knowledge / experience in one or more of the following areas:

a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models

b. Stress Testing models

c. Interest Rate: Libor Market Model, HJM, Models of the short-rate

d. Equity: Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

Interested candidates can share your updated cvs - [email protected]