Quantitative Analyst - Integrated Risk Analytics Team

Summary:

The role forms part of the model validation team within Global Markets. The model validation team is also part of the Integrated Risk Analytics team.

Job Profile:

- Validation of pricing models of derivatives products across all silos such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures.

- Validation of components XVAs for structured deals.

- Validating pre-trade structured deals from model validation perspective.

- Validation of interest rate curves including ARR/RFR curves,

- Validation of calibration parameters for the various components under different stochastic processes.

- Validation of models based on regulatory guidelines for market risk, counterparty credit risk, initial margin etc.

Skills and Knowledge:

Relevant experience of 2-3 years.

- The candidate should display a thorough knowledge of derivative instruments, pricing and valuation as well as risk profiles.

- Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches.

- Knowledge of quantitative risk management models, stochastic calculus, statistics and numerical resolution methods.

- Knowledge of VBA, SAS, MatLab, R, Python, Eviews, C++ etc. will be an added advantage

- A CQF/CFA/FRM qualification would be an advantage.

Key Competencies:

- Attention to details

- Mathematical competence

- Problem solving

- Drive for results

- Verbal and written communication

- Business insight and risk awareness;

- Research Competence