Associate/Assistant Vice President/Vice President - Quantitative Research - Credit Derivatives - BFS

Associate/AVP/VP: Quantitative Research - Credit Derivatives, Mumbai

The opportunity to join a team as an AVP or VP depending on experience, with a focus on pricing models, model evaluation and infrastructure for the credit derivatives business. The role is spanning all aspects of credit derivatives QR coverage, from the mathematical modelling to the development of model evaluation platforms in our risk system.

1. Developing models for the pricing and risk management of credit derivatives, including investigating improvements to existing models

2. Writing model documentation compliant with internal and regulatory standards

3. Working with model control teams to facilitate timely and efficient review and approval of models

4. Liaising with business functions as well as other quantitative research and control teams

5. Explaining model behaviour, carrying out scenario analyses, developing and delivering quantitative tools, and supporting analytics

- The role requires the combination of very strong software development skills, a very structured mathematical approach to problem solving, business overview, and the ability to work in a dynamic environment.

- Prior knowledge of quantitative modeling and risk neutral pricing is a plus, but not an absolute requirement.

1. An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields

2. Exceptional analytical, quantitative and problem-solving skills

3. Excellent written and oral communication and interpersonal skills

4. Knowledge of fixed income markets, in particular credit products and models, is a plus, but is not a strict requirement.

5. Strong software design and development skills, preferably with some C++ and Python knowledge and experience

6. Pro-active attitude. Should have a natural interest to learn about our business, models, and infrastructure.

7. Ability to work in a high-pressure environment

8. Attention to detail and focus on quality of deliverables

9. Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable