Quant Associate - BFSI - IIT

Role & Responsibilities :

- Gain thorough understanding of quantitative models, markets, analytical techniques.

- Work closely with trading and sales and build quantitative tools for pricing, proprietary trading strategies, portfolio analysis etc.

- Help in restructuring, enhancement and maintenance of a large number of existing and new quantitative live reports for various markets and product classes.

Skills :

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

Quant/Analytical Skills :

- Experience with applied econometric (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)