07/02 HR
Manager at Big4

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Quant Modelling Role - Big4 (0-5 yrs) Premium

Gurgaon/Gurugram Job Code: 662204

Work you will do:

- Develop and implement pricing and risk models to value vanilla and complex products across asset classes as extensions to existing software, or from scratch;

- Provide technical expertise on all aspect of quantitative modelling covering model validation, independent pricing, model risk quantification and review;

- Support other teams on a variety of client projects in the areas of, but not limited to: market risk, counterparty credit risk and xVA;

- Develop internal model risk controls;

- Benchmark to market best practice;

- Support client proposals; and

- Build and maintain strong relationships with clients and industry experts.

Qualifications Required:

- Quantitative Degree (MSc or PhD) in Mathematics, Physics, Computer Science, Financial Engineering, etc;

- Strong knowledge of and professional experience in applied mathematics with a focus on probability theory, stochastic calculus, partial differential equations and numerical analysis;

- Proficiency in all concepts of the financial derivatives market and hands-on experience with modelling of at least one asset class (i.e. IR, Credit, Equity, Commodity, FX and Inflation) in a professional environment such as Model Development, Model Validation, Quantitative Research and product control, knowledge of Structured Products is particularly beneficial.

- Software development experience, preferably in a large team, implementing quantitative models; knowledge of version control tools and software development principles (with strong emphasis on testing and documentation);

- Strong programming skills: Matlab, C++ or/and Python;

- Ability to explain complex quantitative methodology in a clear and concise way;

- Ability to interact effectively with stakeholders from a variety of backgrounds and seniority.

Preferred:

- Practical experience with Bloomberg;

- Understanding of the regulatory requirements, particularly FRTB, IMM, Stress Testing (CCAR/EBA/PRA) and their impact on derivatives market and clients challenges;

- CFA, FRM or/and CQF

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