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05/09 Nagesh Shetty
HR Executive at CRISIL Ltd

Views:318 Applications:66 Rec. Actions:Recruiter Actions:46

Crisil - Quant Analyst/Senior Quant Analyst - Market Risk (2-10 yrs)

Mumbai/Bangalore/Pune Job Code: 1150004

Quant Analyst/Sr Quant Analyst, Market Risk


About CRISIL GR&A: CRISIL Global Research & Analytics (GR&A) is the largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity firms and asset management firms. CRISIL GR&A operates from research centers in Argentina, China, India and Poland, providing research support across several time zones and in multiple languages to global organizations. It has deep expertise in the areas of equity and fixed income research (covering global economies, 150 global sectors and over 3000 global companies), credit analysis, exotic derivatives valuation, structured finance, risk modeling and management, actuarial analysis and business intelligence.


CRISIL GR&A includes Irevna, Pipal Research and Coalition, firms which were acquired by CRISIL.

Job title : Quant Analyst/Sr Quant Analyst, Market Risk

Location : Mumbai/Pune/Bangalore

Experience : 2-6 years

Job Duties :

- The role will require working closely with the market risk methodology / validation team of large global banks. This will include develop, validate, review, assess and challenge the complex market risk / pricing models.

- Key responsibilities include understanding the conceptual framework and assumptions of models, model testing, resolving projects' issues, reviewing the comprehensive model reports. Liaise offshore team from other geographies and should be flexible about work hours.

- The candidates will be required to have sound knowledge and exposure to market risk / pricing model methodology and validation process. This will include exposure to the following:

Market Risk models : VaR / RNIV models, IRC and CCAR

FRTB models : SA, IMA, SA-CVA

Stress testing : CCAR, EBA

Pricing Models : across asset classes (Rates, Credit, Equity, FX and Hybrids)

Qualification : PhD - Mathematics/Physics/Engineering/Computational Finance/similar quantitative discipline like CQF, FRM; or master's degree with relevant experience of 2-6 yrs

Required Mandatory Skills :

- Excellent knowledge of quantitative finance

- Hand on experience working on Python, C++, R

- In-depth knowledge of multiple market risk models and pricing models across asset classes

- Strong exposure to various risk concepts including VaR, RNIV, IRC , FRTB -SA, IMA, SA-CCR

- Experience in methodology and validation framework for Market Risk and Pricing models

Preferred Skills :

- Understanding of Mathematical Finance, stochastic calculus, change of measure, probability theory, numerical techniques

- Knowledge of financial products, Greeks, Risk Calculation and Back testing methodologies for VaR, ES, etc.

- Experience in regulations like FRTB SA/IMA, SA-CVA, etc.

- Previous experience in Risk Analytics, Market Risk Management

Required Soft Skills :

- Strong communication skills ; ability to articulate, present ideas and engage with an international audience

- Self-motivated and problem-solving skills

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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