Executive Director/Vice President - Quant Modeling - Investment Banking Captive

We have openings with a clients who are an investment banking captive in the Quant Modeling space.

The roles are open across levels and would primarily entail :

- Devising/improving models on new/existing product strategies, building models in the firm's platform,

- Back-testing of strategies and reconciling back-tests with model outputs.

- Experience in working / creating customized C++ libraries will be a plus.

- Independently prepare pricing models for derivative product structures using internal pricing models as per the client requirements.

- Working in close tandem with global structuring desk facing aggressive deadlines for index related work

- We are looking for candidates with good programming skills and an excellent academic background for this role.