Consultant/AM - Quantitative Modeling - FRM

- Asset Valuation Modeling - Vanilla/exotic derivatives (FX, Interest Rates, Energy), Fixed Income instruments, structured products (CDO, MBS, ABS) including prepayment/default cash-flow modeling

- Risk Quant Modeling - Greeks, CVA, VaR, ES, PFE modeling

- Statistical / Econometrics modeling - MA, AR, GARCH, ARCH, ANOVA, OLS, Advance Time-series modeling Correlation modeling using Cholesky/Copula etc.

- Advanced Numerical/Computational techniques - PDE, Stochastic, Advanced Simulations and Variance reduction techniques, linear optimization, application of Taylor’s series, Newton-Raphson, Newton Cotes etc. in quant finance

- Experience on regulatory (CCAR, BASEL, DFAST) models related to Cash-flow modeling including prepayment & default modeling, stress testing would be a definite plus. Additionally liquidity risk modeling, economic capital modeling from the regulatory perspective etc. would also be preferred.

- Experience in the Asset Liability Management space related to duration gap modeling, immunization techniques, maturity mismatch quantification, quantification of Interest Rate Risk, Cash-flow projections and NII sensitivity analysis, would be preferred.

Tools:

- Advanced excel skills/programming expertise in VBA from quant modeling perspective is mandatory.

- Working knowledge of Bloomberg is a plus.

- Working knowledge of one (or more) modeling tools - FINCAD, R, SAS, Matlab, @Risk - would be a plus.

- Knowledge of Programming in C++, Python is highly preferred.

Educational & Professional Qualification:

- Analytical degrees like B.Tech from Tier 1 College (IIT, NIT etc), Masters in Finance, Masters in Applied Mathematics, and Masters in Financial Engineering. In addition to these, an MBA or any statistical degree would be a plus.

- Professional qualifications like CQF, CFA, and FRM etc. would be highly preferred.

Roles and Responsibilities:

- Model Development, Model Validation, and Model Documentation & Review in Market/Treasury Risk domain.

- Independent price/risk exposure verification for banking portfolio.

- Ability to travel as necessary to meet client needs

- Must work well in a team-oriented environment as well as independently

- Must work creatively and analytically in a problem-solving environment, and should have an ability to think out-of - the box

- Demonstrated advanced written and verbal communication skills