Quantitative Finance Analyst - Market Risk - Investment Bank

Hiring for a Multinational Investment Bank for quantitative finance analyst (Market Risk)

- It is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. Part of our Global Delivery Center of Expertise in the bank. Our employees help our customers and clients at every stage of their financial lives, helping them connect to what matters most. This purpose defines and unites us. Every day, we are focused on delivering value, convenience, expertise and innovation for the individuals, businesses and institutional investors we serve worldwide.

- We are committed to attracting and retaining top talent across the globe to ensure our continued success. Along with taking care of our customers, we want to be the best place for people to work and aim at creating a work environment where all employees have the opportunity to achieve their goals. It supports business process, information technology and knowledge process across Consumer Banking, including Card and Home Loans, Legacy Asset Servicing, Global Banking and Markets, and Global Wealth and Investment Management lines of business.

Process Overview :

India team provides analytical and technological support to the Model Risk Management desk.

Job Description:

- The bank is looking for a quantitative finance analyst in the Global Banking and Markets (GBAM) Model Risk Management team.

- GBAM Model risk management team covers all aspects of model validation and model risk of front office derivative pricing and risk models. This includes market risk models (VaR, RNIV etc.), Credit/Funding Value Adjustment (XVA) models, counterparty credit risk (CCR) models including IMM models, IRC models, margin models, etc. The team covers OTC derivatives across asset classes ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage. Based on their prior experience and the team's requirement, the candidate will work on one or more of these areas.

- The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.

Responsibilities:

- Validate bank's pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage.

- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated

- Perform independent testing, scenario analysis and back-testing to identify/quantify model risk associated with the model being validated

- Prepare validation report and technical documents for the model being validated

- Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes

- Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.

Requirements :

- Education: Masters or Ph.D. degree in Statistics, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.

Educational institutes: Top tier - IITs, NITs, Indian Statistical Institutes, IIMs etc.

Certifications (preferred but not mandatory): FRM, CFA etc.

Experience Range: 5 - 7 years

Mandatory skills: Minimum of 2 or more years of experience in the quantitative modeling and/or validation field

Strong Quantitative skills -

- In depth understanding of financial mathematics including stochastic calculus, probability theory and time-series 

modeling

- Strong knowledge of financial instruments in one or more asset classes and financial risk management principles

- Knowledge of complex OTC derivative products and underlying risks

- Strong Written and Oral Communication

- Ability to follow up with issues and summarize discussions

- Ability to communicate clearly, effectively, and work well with people at all levels

- Attention to details

- Willingness to learn

- Strong work ethic

- Team player

Desired skills:

- Strong coding ability in Python, C++ or R is a plus(Not mandatory)

- Experience in derivatives pricing/risk models in one or more asset classes is a plus

- Experience in LATEK

- Speaking / presentation skills in a professional setting

Work Timings: 12 PM - 9 PM IST