Quant Analyst - Trade Finder

Responsibilities:

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

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

- Development of econometric based trade idea scanning using multivariate regression, PCA etc.

- Development of pre-trade analytics for Fixed Income Products

- Development of Pricing tools for Rates, FX, Equities & Credit products

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, DB2 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