AVP - Trade Finder Quantitative Analyst - IIT

Drive projects that offer high end quantitative, business driven solutions for complex problems

Quantitative Analysis on Large Datasets such as Time series analysis, rich cheap analysis, P&L/Business Drivers Analytics etc

Design & Development of executable pricing tools for cross asset derivative products

Portfolio Analysis Engine to calculate MTM, Greeks, VaR, RWA, CVA Charge & Funding Charge

Implementation of regulatory projects such as CRD4 Balance Sheet reduction using optimizations, market data engine for Dodd-Frank Initial margin calculations etc

Projects are characterized by cross-silo counterparties, large data volumes and sophisticated analytical requirements.

Technical Skills:

Strong educational background in Engineering/Science (IIT candidates).

Quant/Analytical Skills -

Experience with applied econometrics (Hypothesis testing, PCA, Linear/Non-Linear Regression etc)

Knowledge of Numerical Optimization Techniques (BFGS, Levenberg-Marquardt etc)

Knowledge of applied linear/Integer linear programming, dynamic programming & greedy algorithms

Experience/Knowledge of working with big data (data science)

Programming Skills

Advanced knowledge of any one modern programming knowledge (C/C++, Java, Perl, Python, Scheme etc)

Experience with relational database design (oracle, mysql, postgreSQL, DB2 etc)

Experience with Statistical Tools (Matlab, SAS, R etc) and Unix Shell Scripting

Basic knowledge of User Interface design & Implementation (JSP, Javascript, jQuery, HTML etc)

Financial Analytics

Advanced knowledge of Value At Risk calculations methods (Historical, parametric & Simulations)

Advanced knowledge of portfolio exposure calculations (RWA, CVA, CSA charges)

Advanced knowledge of yield curve construction and vol calibration (boot-strapping, interpolation techniques, sabr/local vol models, smile/skew calibration)

Knowledge of Derivative Pricing Methods (Monte Carlo, PDE/Tree Models)

Knowledge of instrument specific features and properties of Bonds, FRAs, Swaps,Cross currency swaps, Swaptions, Default swaps, Options

Advanced Knowledge of margin calculations for listed derivatives and other exchange traded products

Basic knowledge of valuation, booking, settlement, collateral management and clearing mechanism

Please Provide the details as follow:

C Compy:

C Designation:

C CTC:

ECTC:

T WrkExp:

Qualification: (please mention yr of passing)

Notice Period:

Reporting To:

Ppl reporting to you:

C Location:

Reason for change of Current job-

Brief about the current role in the company-

Suchita M Sakpal
hCapital-Executive Search
Mobile: +91 9594062574