Data Management Quant Analyst - OTC Derivatives Pricing Analyst

We are looking for Data Management Quant Analyst for one of the leading American banking and financial services company based in Pune.

Below are prerequisites.

-1-3 years- experience in valuation model development for OTC Derivatives products

- Knowledge of financial OTC derivatives products, financial markets and regulatory requirements

- Strong quantitative, analytical skills and attitude for independent research & problem solving

The individual will be a member of Quant team within the OTC Derivatives Pricing Team in Pune. As member of quant team, the individual will be responsible for valuation and risk analytics model development and validation of vanilla and exotic derivatives instrument across various assets class and will be liaising with market data vendors for sourcing appropriate data. The individual will have to stay abreast with changes in valuation methodology / market data employed to value derivative instruments and upgrade valuation model accordingly.

The individual will play a key role in supporting pricing environments for OTC valuation including market data and models, perform quantitative analysis of derivative products and liaise with technology teams to develop appropriate systems. The individual will be involved in all aspects of day-to-day production valuations of select asset types, from start to close of the global valuation day and will provide necessary client services including price challenges.

The position involves interaction with many teams across risk and control, lines of business and reporting groups. The ability to work efficiently and communicate effectively across these boundaries will be one of the keys to success. The role and responsibilities of the successful candidate will be determined based on qualifications, prior experience and demonstrated skills.

Key Roles & Responsibilities:

- Perform Daily and Intraday Valuation for select OTC Derivative asset types and ensuring that related SLA's are met consistently with appropriate controls for quality.

- Participate in the development of pricing environment for select derivatives instruments valuation along with associated processes and procedures for valuation to ensure that appropriate controls are in place.

- Oversee issues arising in the course of daily production (issues related to process controls, technology issue escalation and resolution, client query, price challenges and justifications, etc.) and provide client services to onshore and clients directly to address their concerns about price quality.

- Communicate and educate onshore pricing and technology resources with issues that arise offshore.

- Model validation and evaluation of appropriateness of the assumptions and methodology for valuations and risk calculations of derivatives, and identify errors and potential improvements in the calculation processes.

- Stay abreast with changes in valuation methodology and market data employed to value various assets and upgrade valuation model accordingly

- The job would require the incumbent to solve price quality issues arising from market data or models. The incumbent is expected to produce valuations and analytics for OTC Derivatives and complex asset types. This would require strong problem solving skills including technological issues.