Quantitative Research Analyst - Investment Bank

This position is a Quant profile to support the activities of the Quantitative Research Group (cross asset classes) & Credit globally sitting out in Mumbai. The QR team in Mumbai plays a critical role in providing effective, timely and independent assessments of the Firm's booking models of exotic structures and also help in developing new models for structures as and when necessary

Our business

We have the leading Global Spread business in terms of volume traded, issuers traded and investor relationships. The Spread business covers Credit, SPG, and Public Finance Markets. Our Global Spread Trading offers first-class, highly integrated financial services to a global client base and provides financial assets and liquidity for banks, insurance companies, finance companies, mutual funds and hedge funds. Traders, salespeople and research analysts work collectively to generate ideas CIB QR Wholesale Credit Capital Group within the Risk organization. We are looking for a modeler who will focus on CCAR and CECL modeling methodologies. The position requires the modeling of Loss-Given-Default (LGD) and Exposure-At-Default (EAD).

Opportunity

The opportunity is to join our Mumbai team as an associate, or analyst with a focus on implementing calculations in our strategic system, Athena, including risk, PL, and hedging. Candidates directly from university will be considered Qualification:

Bachelor's or Master's Degree in Computer Science, Engineering, Statistics, Econometrics, Physics or a related field.

2-5 years of statistical modelling or data science experience. Fresh graduates would be considered as long as the candidate meets the requirements listed below.

Requirements

- Experience in handling large amount of panel data, and data cleaning/filtering.

- Knowledge of statistical methods and models: generalized linear models, time-series analysis, clustering, decision trees, logistic regression.

- Experience in working in a shared computing environment (Linux) and with version control.

- Hands on programming in Python and/or R.

- Prior experience in writing model documents is strongly preferred but not required.

Desired skills:

Parallel/distributed computing experience a plus.

Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable.