Quant Modeling - Equities - Associate/VP (Across Levels)
About Our Client
Our client is one of the largest Global Banks with demonstrated strengths in the Investment Banking domain. They are looking at expanding their business in India by creating new team from scratch. They are looking for seasoned professionals having solid exposure in the quant modeling domain for their new team that is being setup.
Reporting directly into the Risk Lead, you would be part of the newly set-up quant modeling team that is focused on derivatives and structured products for all asset classes. This team will be responsible for developing and maintaining financial models for the pricing and risk management of various desks of the bank.
Some of your key responsibilities shall include:
- Develop, implement, enhance, maintain, review, test and document models for pricing and risk management
- Make models SR 11-7 compliant which is a regulatory guideline for US banks for Model Risk Management.
- Extensive model testing, model documentation to appropriate standards, getting model reviewed by model review and control groups, model development, model enhancement and model maintenance.
- Work closely with internal and external model review groups
The Successful Applicant
- You are a Bachelor's or Master's in Mathematics/ Computer Science/ Statistics / Economics or any other quantitative discipline from a Tier 1 institution (IIT's, IIM's, ISI)
- Expert in C/C++ or Python programming along with in-depth understanding of object-oriented programming concepts
- Strong expertise on derivatives theory with very good understanding of Greeks (Delta, Gamma, Theta etc.) and other risk components
- Knowledge of financial mathematics, stochastic calculus, and structured products
- Strong knowledge of quantitative models (multi-curve framework, interest rate models and volatility, commodities, credit derivatives, etc)
What's on Offer
This role would offer you variation, stability and career progression in addition to a highly competitive compensation.