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3 - 5 years of relevant Market Risk and Capital Markets experience at one or more Financial Services firms, or Professional Services / Risk Advisory with significant exposure to one or more of the following areas:
1. Development and validation of:
• Derivative Models of Vanilla and Exotics products across asset classes Equity, FX, IR and Credit
• Risk Models - VaR, ES, PFE, CVA, P&L Attribution, Sensitivity / Stress Testing and Back Testing
• Market Risk, Counterparty Credit Risk Capital Charge Computations as per Basel III Guidelines (SA and IMA approaches)
• Understanding of Basel III / FRTB (SA and IMA Approaches), FRTB CVA, Interest Rate and Liquidity Risk Standards
2. Conceptual understanding of interest rate pricing models, equity and FX option pricing models, commodities, single and multifactor derivative pricing models, stochastic volatility models, stochastic calculus (Expectations, Ito calculus, change of measure, Martingale theorem), Statistics (OLS MLE, PCA etc. ), Regression and Time Series Forecasting techniques)
3. Tools like- Bloomberg, Reuters, NumeriX, Fincad, Murex, Calypso, Encompass etc.
4. Programing Languages - VBA, R, Python, Matlab, C++ etc.
5. Strong understanding of Market Risk and Treasury operations and ability to apply them in client discussions and project implementation
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