Description
We are looking for a Quant Analyst/Developer to help develop VaR based models for IR, FX, Equity and Commodity OTC instruments in order to establish appropriate margind. You will help develop procing models to support mark-to-market calculations, develop and design models to measure liquidity, concentration and wrong way risk; develop stress tests, identify any weaknesses in the current Historical Simulation VaR approaches and make appropriate changes.You will have at least 5 years experience in pricing abd validation of rates, equity, FX and Commodity based derivatives; knowledge of market risk; knowledge of scenario based stress testing.