Quant Analyst - IIT/IIM

IIT / IIM ONLY

ROLE RESPONSIBILITIES :

Drive projects that offer high end quantitative, business driven solutions for complex problems :

- Quantitative Analysis on Large Datasets such as Time series analysis, rich cheap analysis, P&L/Business Derivers Analytics etc

- Developing executable pricing tools for cross asset derivative products

- Portfolio Analysis Engine to calculate MTM, Greeks, VaR, RWA, CVA Charge & Funding Charge

- Diving critical regulatory projects such as reduce exposure due to derivatives (CRD4), market data engine for Dodd-Frank Initial margin calculations etc

- Projects are characterized by cross-silo counterparties, large data volumes and sophisticated analytical requirements.

Technical Skills :

- Strong educational background in Engineering/Science (IIT candidates).

Quant/Analytical Skills :

- Experience with applied econometrics (Hypothesis testing, PCA, Linear/Non-Linear Regression etc)

- Knowledge of Numerical Optimization Techniques (BFGS, Levenberg-Marquardt etc)

- Knowledge of applied linear/Integer linear programming, dynamic programming & greedy algorithms

- Experience/Knowledge of working with big data (data science)

Programming Skills :

- Advanced knowledge of any one modern programming knowledge (C/C++, Java, Perl, Python, Scheme etc)

- Experience with relational database design (oracle, mysql, postgreSQL, etc)

- Experience with Statistical Tools (Matlab, SAS, R etc) and Unix Shell Scripting

- Basic knowledge of User Interface design & Implementation (JSP, Javascript, jQuery, HTML etc)

Financial Analytics :

- Advanced knowledge of Value At Risk calculations methods (Historical, parametric & Simulations)

- Advanced knowledge of portfolio exposure calculations (RWA, CVA, CSA charges)

- Advanced knowledge of yield curve construction and vol calibration (boot-strapping, interpolation techniques, sabr/local vol models, smile/skew calibration)

- Knowledge of Derivative Pricing Methods (Monte Carlo, PDE/Tree Models)

- Knowledge of instrument specific features and properties of Bonds, FRAs, Swaps,Cross currency swaps, Swaptions, Default swaps, Options

- Advanced Knowledge of margin calculations for listed derivatives and other exchange traded products

- Basic knowledge of valuation, booking, settlement, collateral management and clearing mechanism