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Market Risk Analyst

Market Risk Analyst

Tata Consultancy Services

3 - 5 years

|

10 - 20 Lacs

pune bengaluru mumbai (all areas)

Posted:-1 days ago| Platform:

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Skills Required

frm market risk liquidity risk

Work Mode

Work from Office

Job Type

Full Time

Job Description

Experience: 3-5

Location: Mumbai, Pune, Bangalore, Hyderabad, Chennai

skills required:

1.Validating Value at risk model, FRM, liquidity risk model

2.Experience in writing validation report

3.Methods: Historical simulation, Monte Carlo

Responsibilities:

Review the underlying assumptions, theory and implementation of derivative pricing models.
Independent replication testing on derivative pricing models, including interest rate derivative, FX derivative and commodity derivatives.

Knowledge & skills:

Educational background in quantitative finance, applied mathematics, physics, statistics or engineering.
Knowledge of stochastic calculus, numerical analysis, optimization and Monte Carlo simulation.
Knowledge of QuantLib is a plus.
Strong programing skills in one of the following: Matlab, Python, C++, VBA

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