Market Risk Analyst @ Tata Consultancy

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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Rs 0 - 50K PM Rs 50K - 1 LPA Rs 1.0 - 1.5 LPA Rs 1.5 - 2.0 LPA Rs 2.0 - 2.5 LPA Rs 2.5 - 3.0 LPA Rs 3.0 - 3.5 LPA Rs 3.5 - 4.0 LPA Rs 4.0 - 4.5 LPA Rs 4.5 - 5.0 LPA Rs 5 - 6 LPA Rs 6 - 7 LPA Rs 7 - 8 LPA Rs 8 - 9 LPA Rs 9 - 10 LPA Rs 10 - 12 LPA Rs 12 - 14 LPA Rs 14 - 16 LPA Rs 16 - 18 LPA Rs 18 - 20 LPA Rs 20 - 22 LPA Rs 22 - 24 LPA Rs 24 - 26 LPA Rs 26 - 28 LPA Rs 28 - 30 LPA Rs 30 - 32 LPA Rs 32 - 34 LPA Rs 34 - 36 LPA Rs 36 - 38 LPA Rs 38 - 40 LPA Rs 40 - 42 LPA Rs 42 - 44 LPA Rs 44 - 46 LPA Rs 46 - 48 LPA Rs 48 - 50 LPA Rs 50 - 75 LPA Rs 75 Lakh - 1C PA Rs 1 Crore+ PA

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Keyskills:   FRM Market Risk Liquidity Risk