Quant Analyst - Model Validation

Summary :

The role forms part of the model validation team within Global Markets team of RMB. The model validation team is also part of the Integrated Risk Analytics team at FRSPL.

Job Profile :

• Validation of pricing models of derivatives products across all silos such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.
• Validation of components XVAs for structured deals.
• Validating pre-trade structured deals from model validation perspective.
• Validation of interest rate curves including ARR / RFR curves,
• Validation of calibration parameters for the various components under different stochastic processes.
• Validation of models based on regulatory guidelines for market risk, counterparty credit risk, initial margin etc.

Skills and Knowledge :

Key Competencies :

(ref : hirist.tech)