Quant Analyst - QA Asset & Liability Management

Job Title: Quant Analyst

Location: Noida

Mandatory Skills:- Model Development, Statistical Modeling and Python Coding/Development (Pandas and Libraries), IC Role

- Data Scientist would not be accepted-

This is a quantitative analyst role within QA Asset & Liability management with responsibility for:

- Design, build and deliver robust and production quality statistical models and code within a unified library for use within Treasury.

- Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioural balances.

- Support quantification of funding and capital plans, forward looking impairments and pricing of liquidity and funding risk associated with the banks asset / liability profile.

- Support model development for quantification of interest rate risk on the banking book.

What will you be doing ?

- Deliver high quality documentation and presentations to support and maintain model and library use.

- Facilitate and challenge discussion of modelling options with senior model owners.

- Assist with development of statistical models for projection of balance sheet under different macro-economic scenarios.

What were looking for:

- Undergraduate graduate degree in a quantitative discipline with a statistics component.

- Some industry experience in quantitative finance. This may be replaced by relevant academic or industrial experience in statistical modelling.

- Good understanding of statistical and econometric modelling techniques e.g. time series analysis, regression models and various estimation techniques.

- Able to deliver to tight deadlines on quantitative projects, and manage the end to end process of model delivery.

- Proficient in Python (preferred) or R.

Skills that will help you in the role:

- Postgraduate qualification in a quantitative discipline with a statistics component.

- Some experience in designing and developing statistical and econometric models.

- Experience in analysing large volumes of data including cleaning and subsequent pattern identification and clustering.

- Knowledge of EAD, PPNR and stress testing modelling.

- Knowledge of relevant regulatory guidelines for CCAR, IFRS9 and IRRBB.

Where will you be working?

- Noida