Overview (Risk & Capital Technology):  Risk & Capital Technology (RCT) provides key support/ roadmap for risk management initiatives within Bank and it’s effective and mature governance process. This includes setting vision of the program from the perspectives of business objectives, regulatory requirements, and top level management.  Unit is responsible for defining the technology strategy plan in partnership with Risk Business, its governance, accountability, and keep a risk programs oversight. Facilitate defining policies, standards and lay out the direction to support; set deliveries, guidelines, expectations, and process integration for efficiently managing firms risk management function for Credit, Market & Operations (its 3 processes) RCT is structured and organized in 3 verticals of Credit, Market and Operations and 4 horizontals (Data, Shared, Reporting and Analytics) to have business aligned focus via verticals and have deliveries direction managed via its horizontals that cuts across the verticals.  Key RCT program comprises of regulatory deliverables related to Capital Adequacy Directive (CAD2), compliance to PRA and JFSA policies for Internal Model Method (IMM) utilization, Basel 3 adherence per JFSA, CRD IV (Basel 3) adherence per PRA, Dodd Frank (DFA) requirements for compliance for OTC Derivatives Intraday Counterparty Limit, Exposure & Collateral Management. Strategic Programs related to build Credit Desktop, remediation of PRISM (Credit Exposure System) and stability of Monju (VAR System  Position Specifications:  Functional Title : Sr/Lead Developer  Experience : 4 – 8 yrs  Position specification:  - This opportunity will allow one to work with global team of developers, quants and risk managers in developing and maintaining critical credit risk calculation engines. Members of the team are exposed to a broad array of financial products, pricing, and risk models.   - The team is responsible for Monte-Carlo based potential exposure engine which is the cornerstone of firm’s credit risk system under Internal Model Method of Basel II/III.  Role and responsibilities of the position in brief:  - Design and develop new calibration, simulation and pricing models for credit risk computation engine in C++  - Maintain the existing models and support them in terms of enhancements and bug fixes  - Work across asset classes – including interest rate, credit, FX and equity derivatives  - Work closely with Credit Risk Analysts (CRA) in determining the appropriate models to be used for various products ranging from vanilla to exotic derivatives  - Help business analysts and developers understand the system from model perspective  - Implement timely solutions for regulatory projects with tight deadlines  - Integrate models with the existing systems via thorough testing and explaining the exposure impact  - Support the existing systems and timely resolution of model related production issues  Key Skills:  - Extremely strong academic background with computer science or computational physics/computational maths background  - Understanding of stochastic calculus, risk neutral pricing and PDEs  - Familiarity with different kinds of stochastic interest rate models  - Experience with pricing of derivative instruments such as CDS, CDOs, swaps, swap options, FX and equity derivative products (at least a few)  - Black-Scholes option pricing, binomial tree pricing and pricing through Monte-Carlo simulation  - Familiarity with credit risk exposure calculation methodologies desirable  - Formal training in derivative finance is desirable  - A strong ability to implement on the analytics library with C/C++  - Development skills in C++ & STL with working knowledge of data structures and object oriented programming  - Hands on experience with Unix and some scripting languages  - Ability to analyze and debug complex and legacy code  Rupa QuantPeepal

Mumbai

Quant Developer - Investment Bank 

Quant Developer - Investment Bank  ,Job Description for Quant Developer - Investment Bank  in Peepal Consulting in  Mumbai for (4-8) years of experience. Apply Now!

Job Description for Quant Developer - Investment Bank  in Peepal Consulting in  Mumbai for (4-8) years of experience. Apply Now!