Manager/Senior Manager - Quant Risk Management - Market Risk - Big4

About Our Client :

Our client is one of the leading Big4 consulting firm and are looking to expand their Market Risk (Quant) practice. They are looking for seasoned professionals having solid exposure in the quant modeling domain for their new team that is being setup.

Job Description :

Reporting directly into the Risk Lead, you would be part of the Quantitative Risk Management practice and you would be responsible for working on projects for diverse set of clients. Some of the projects would involve assessing performance of quantitative models used by investment banks, including pricing models, risk models, and empirical forecasting models used in major lines of business, including Corporate Investment Bank, Consumer Banking, and Corporate Risk..

Some of your key responsibilities shall include :

- Model development & validation - Work on development and validation strategic and regulatory quantitative and statistical models ranging from simple to highly complex structure.

- Develop quantitative and statistical models based on client's business and regulatory requirements, create comprehensive test cases and develop automated test engines, and perform thorough testing before rolling them out to the client.

- Execute the models based on business inputs and discuss the results with the client

- Create model document describing business use, conceptual philosophy, mathematical logics, and implementation and testing approach of the model developed.

- Perform an extensive validation of client's models covering the validation of input data and assumptions, conceptual soundness, calculation logic, outputs, etc.

- Create comprehensive document detailing the validation steps performed, validation findings along with their criticality, and alternate recommendations based on leading practices followed by practitioners globally

The Successful Applicant :

- You are a PHD or Master's in Statistics / Economics/ Mathematics/ Science or any other quantitative discipline from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 6 years of experience in the quant/market risk modelling domain

- Certifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferred

- Strong expertise on derivatives theory with very good understanding of Greeks (Delta, Gamma, Theta etc.) and other risk components

- Experience with Stochastic calculus(SDE, PDE, FE etc.), Numerical algorithms (root finding, optimization etc.), statistical modeling (factor models, copula, Bayesian etc.), Time series analysis (ARIMA, GARCH, state space models)

- Essential skills include the ability to develop models in C++ or Matlab environment

- Strong knowledge of quantitative models (multi-curve framework, interest rate models and volatility, commodities, credit derivatives, etc).

What's on Offer :

This role would offer you variation, stability and career progression in addition to a highly competitive compensation.