Evalueserve is looking for a Quant in Derivatives Pricing and Market Risk Domain with strong subject/coding knowledge, excellent communication skills and ability to manage teams. The person will be required to work on one or more of following:
- Derivative Pricing Model – Development/ Validation
- Market Risk Models – Development/Validation
- Stress Testing Models – Development/Validation
- Margining Models – Development/Validation.
- Perform various initial and /or ongoing model development/validation tasks independently or in collaboration with senior quants in New York and London – Create approach note and testing plan for the assigned model; Decide upon appropriate methodology for benchmarking and challenger models.
- Conduct qualitative review of the model; examine documentation for detailed description of the theory, references to the base model, product description, mathematical and technical parameters
- Develop and code challenger models for benchmarking and for validation of high-risk models
- Review model implementation into the production code; Perform additional testing
- Perform direct and indirect validation of calibration in the models
- Conduct model risk analysis, stress testing and other tests under different scenarios
- Draft a validation report with executive summary with approval/disapproval, restrictions on model usage; summary of findings and remediation plans
- Other duties as assigned
- Master's (preferred) or bachelor’s degree in applied quantitative discipline (Engineering, Physics or Math)
- 5+ years of experience in derivatives modelling or market risk modelling or validation.
- Outstanding mathematical and coding background
- Knowledge of probability theory and stochastic calculus is a must
- Experience with some of the derivative pricing models, volatility/correlation models or VaR, ESF models, etc.
- Understanding of Greeks/Hedging
- Proficiency in at least one of Python or C++ (or related) language
- Experience with Bloomberg/Numerix or other third-party tools is preferred
- Proficiency in developing and giving presentations
- Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels
- Advanced analytical and interpersonal skills
Compensation & Benefits:
- Competitive compensation
- Leading edge global work environment
- Complete benefits package
Evalueserve is committed to providing equal employment opportunities (EEO) globally, eliminating discrimination and promoting good relations among employees, regardless of age, disability, race, ethnicity or origin, religion or belief, sex, gender assignment, gender identity, sexual orientation, marital or civil partnership status. Evalueserve is an inclusive employer and is proud of its diverse workforce.