Manager - Quant - Investment Bank

Job Description:

Pricing Model:

- Development of FO pricing model for Range accrual using black swap and call spread models for an International Bank.

- Further modeling Interest Rate and Vega sensitivities for the range accrual.

Stress Testing:

- Working on designing and implementing full revaluation stress methodology for securitized and credit products

- Scenario generation and expansion based on historical analysis, expert judgments and through discussions with traders.

- Developed Adhoc scenario like North Korea crisis, Brexit, US commercial real-estate

- Performing internal and regulatory scenarios and analyzing the major contributors and movements.

Leadership and Managerial Role:

- Built the stress testing team for an international investment bank

- Leading a team with 3 other members

- As a consultant, managed relationship with clients and ensure continuous engagement

- Started a concept of training academy within EY for cross functional knowledge transfer and augmentation