AVP - Quantitative Analyst - Investment Bank

Looking for candidates with Quantitative Analysis background in the investment banking space with exposure in Equities as a product.

- This role is with one of my clients which is a global investment bank having its presence in Bangalore.

IT Exposure : KDB or Python programming

Following are the roles and responsibilities :

- Work within the Execution Services Analytics team in Bangalore to create a systematic trading strategies for Cash Equities

- Create an automated process to measure and produce the Alpha profile of the order flow by implementing the existing model and regularly calibrating it.

- Produce daily, weekly and monthly reports on flow toxicity and aggregate the data using different factors and run customised reports.

- Implement and calibrate the toxicity prediction model using historical order flow data

- Maintain a benchmarking model for Risk Unwind cost calculation

- Create an automated service to measure the Loss Ratio and produce daily and weekly reports to assess the quality of the unwind and compare it to different benchmarks

- Backtest various unwind strategies and optimise the holding period given the Alpha profile of the trade vs the liquidity of stock.