Posted By
Posted in
Banking & Finance
Job Code
194143
Looking for premier institute pass outs having Quant Development for 8-9 years:
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 Drivers Analytics etc
Design & Development of executable pricing tools for cross asset derivative products
Portfolio Analysis Engine to calculate MTM, Greeks, VaR, RWA, CVA Charge & Funding Charge
Implementation of regulatory projects such as CRD4 Balance Sheet reduction using optimizations, 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:
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)
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Posted By
Posted in
Banking & Finance
Job Code
194143