CRISIL - Market Risk Quant Professional

Job Duties :

This role is a critical and challenging role which requires a dynamic, bright and hands-on Quant. 

The role involves:-

- Resolving complex issues in building and validating market

- Managing end-to-end project delivery with onsite / offshore teams

- Helping develop newer capabilities and executing trial assignments

- Working on risk modeling, risk model validation activities as maybe required

- Managing small team/s of quant analysts

- Ensuring knowledge dissemination internally across other teams and participating in training activities

- Helping create - thought leadership- by writing papers, articles and contributing to external forum presentations

Skills required :

- Knowledge of stochastic calculus, Monte Carlo simulation, numerical methods - interpolation methods, partial Differential equation, Fast Fourier transform, Optimization techniques

- Knowledge of derivative products like vanilla & Exotic options, Equity, Credit derivative products, Interest rate, FX and their derivatives

- Volatility modelling (local volatility model & stochastic volatility model-SABR, Heston model )

- Knowledge of VaR model, GARCH, ARCH and stochastic volatility model, RNIV

- Should have solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data

- Should have strong Basel, Economic capital, CCAR and DFAST, FRY-14A, SR-11/7 understanding.

- Should have hands-on experience of statistical software like SAS, R,C++,python and matlab used for modeling purposes

- Strong verbal and written communication skills and strong interpersonal skills

- Strong client management skills. Should demonstrate very high client focus

- Experience of working onsite / offshore in a multi-cultural and global environment

- Good at Multi-tasking skills. Ability to quickly assimilate & comprehend information and deliver within strict deadlines

- Capable of working in a dynamic & rapidly changing environment. Should have the ability to manage change. This role requires the individual to be flexible and comfortable in dealing with high pressure.