05/11 Abhishek Mandhane
Assistant Manager at Kelly Services

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Director - Quantitative Analysis - BFSI (8-14 yrs)

Bangalore/Mumbai Job Code: 862353

We have an opportunity for one of the leading Captive Setup.

POSITION TITLE: Director - Quantitative Analytics, Capital Markets

JOB FUNCTIONS AND RESPONSIBILITIES:

To perform this job successfully, an individual must be able to perform each essential duty satisfactorily.

- Develop robust and comprehensive models using advanced statistics and algorithmic programming

- Provide model validation and monitoring support across capital markets

- Aggregate and analyze large data sets to be used in assumption and model validation

- Develop streamlined model performance and tracking reports

- Develop and maintain models related to the portfolio's prepayments, self-cure, re-defaults and customer complaints metrics

- Support ongoing back-testing of existing models, as well as identify any strengths and weaknesses

- Support the documentation of model methodology, inputs, and outputs for the purpose of audit and review

- Support risk management through development and maintenance of statistical analyses that measure and model the behavior of mortgage assets

- Leverage macro-economic fundamentals to explain behavior under changing economic conditions for the purpose of scenario analysis and stress testing

- Analyze hedge activity, including interest rate risk inherent to financial instruments

- Assist in evaluating and engineering hedge programs

- Create enhanced analytics to facilitate the decision-making of multiple sale options (ex: securitization or whole loan)

- Leverage third party models were necessary to measure asset behavior

- Conduct strategic research and analysis for executive management by request

- Conduct ad hoc research and reports for the valuation & analytics teams

- Measure the dynamics of the MSR portfolio to changing macro-economic conditions

- Develop strategies to maintain data integrity and business workflow efficiency within Capital Markets and other departments.

- Provide recommendations for continuous improvement of the department's reports, processes, policies and procedures.

WORK TIME: 2-11 PM

Shefali

Women-friendly workplace:

Maternity and Paternity Benefits

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