Responsibilities :

• Independently lead and manage market risk consulting and system implementation engagements with leading banks, financial institutions, NBFCs, insurance companies and corporates
• Manage market risk engagements and projects across asset classes such as FX, fixed-income, money market, equity, commodity and derivatives.
• Development and validation of MTM and valuation models for asset classes such as Equity, fixed-income, money-market, FX, vanilla and exotic derivatives
• Development, review and / or validation of models used to measure risk and sensitivity measures such as convexity, duration, greeks, PV01, VaR, Stressed VaR, expected shortfall, etc.
• Development, review and / or validation models used for curve construction and bootstrapping to facilitate generation of par rates, zero rates, forward rates, discount rates, etc.
• Development, review and / or validation models used to calibrate volatility surfaces
• Extensive experience in treasury middle-office and development / review / validation of various models configured for valuation, MTM and risk measure computation.

Requirements : 

• Demonstrate knowledge about trading book products
• Demonstrate knowledge about MTM valuation and pricing models across various asset classes
• Demonstrate experience of leading / executing engagements related to treasury middle office, model validations, market risk measurement etc.

https://lnkd.in/dguCBKup

Apply through this link.