20/03 Karan Madhok
Manager - Risk/Digital & Analytics Practice at Michael Page India

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Associate - Quant Modeling - Investment Bank (4-8 yrs)

Mumbai Job Code: 432979

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.

Job Description:

Reporting directly into the Risk Head, you would be part of the newly set-up Model Investigations team and would work in sync with the US team on assessing performance of quantitative models used throughout the firm, including pricing models, risk models, and empirical forecasting models used in major lines of business, including Corporate Investment Bank, Consumer Banking, and Corporate Risk. Team members have opportunities for exposure to a variety of projects and models used extensively within the bank. Some of your key responsibilities shall include:

- Quantifying model performance with an in-depth analysis of various model characteristics

- Heavy-duty empirical data analysis to identify potential model weaknesses

- Program scripts to facilitate model and associated data analysis

- Investigate potential model issues

The Successful Applicant :

- You are a PHD or Master's in Statistics / Economics/ Mathematics/ Science or any other quantitative discipline from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 4 years of experience in the quant/market risk modelling domain

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- Strong expertise on derivatives theory with very good understanding of Greeks (Delta, Gamma, Theta etc.) and other risk components

- Experience with Stochastic calculus(SDE, PDE, FE etc.), Numerical algorithms (root finding, optimization etc.), statistical modeling (factor models, copula, Bayesian etc.), Time series analysis (ARIMA, GARCH, state space models)

- Essential skills include the ability to develop models in C++ or Matlab environment

- 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.

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Women-friendly workplace:

Maternity and Paternity Benefits

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