Quant Role - Investment Bank - IIT/ISI

Strong Quant skills,Programming experience is a must for all roles,Candidates from good pedigree- IIT, ISI, Msc Economics, Masters in Physics, Maths, computer engg (Tier I institutes),Candidates without tech or engg background will not work. Candidates with Wealth Mgmt, Credit card won- t work,NO IT CV's.

- Counterparty Credit Risk (CCR) Back Testing (BT) team in Mumbai is an integral part of the global CRM - Credit Analytics team. CCR BT team is responsible for Backtesting CCR methodologies and models.

The team is also involved in the development and implementation (R programming) of Back testing methodologies for several key areas like IMM models (Exposure and Collateral).

- A challenging role in the Risk area located in Mumbai as an Investment Banking Risk Quant for the CA CCR BT team of the Investment Banking.

- Development and prototyping of methodologies for back-testing of Monte Carlo Credit Exposure Models using R/Mathematica/C++,Counterparty Credit exposure calculations according to Basel 3/CRD4,

- Responsibility for the development of risk methodologies relevant for capital calculations, specific to derivatives for FINMA, PRA and SEC,Collaboration with IT to deliver strategic implementation of complex risk and simulation systems.

- Collaboration with internal stakeholders in the Investment Bank.To develop methodologies for estimating key deliverable like stress window etc,Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

- Analytical/Numerical degree (Physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred

- Experience of at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling

- Working knowledge of at least one of R, MATLAB, Python or C++ is a must

- VBA, SQL, and Office package is highly recommended