Quantitative Risk Analyst - Consulting & Auditing Firm

We have urgent opening with a leading Consulting & Auditing firm based in Bangalore

Profile: Quantitative Risk Analyst

Grade: Based on Experience

Location: Bangalore

Roles and Responsibilities

1. Developing Quantitative methodologies / Quantitative models especially on financial derivatives pricing, VaR, Expected Shortfall, Default risk measurement and stress testing framework.

2. The candidate will provide market risk oversight to regulatory projects (such as PRA, FED CCAR, BCBS's FRTB etc)

3. Carry out an independent detailed validation of existing models used both for pricing and risk measurement like VaR models, Expected shortfall models etc., in the following asset classes: IR, FX, Equity, Commodity and credit.

4. Identify modelling issues in existing systems and propose practical solutions.

5. Improve the current products/models with a special emphasis on valuation and risk management.

6. Develop pricing models & price various vanilla and structured Over the Counter (OTC) financial derivatives using proprietary models (including models built on Matlab, R, @Risk) and third party valuations tools (such as FiNCAD, Numerix, Super-Derivatives etc.,) using market data from market data sources like Bloomberg, Reuters, Tullett Prebon, ICAP, Super-Derivatives etc.

Job Requirement:

- Excellent knowledge of mathematics across most or all of the following areas: calculus, stochastic calculus, probability, partial differential equations and linear algebra. Master's level degree in a highly numerical subject, although outstanding candidates with a postgraduate master's degree in other subjects will also be considered.

- Hands-on experience of scientific computing, solving complex mathematical problems using numerical methods. We have a preference for candidates with experience in Matlab, C++ languages.

- Relevant experiences will be in trading/structuring positions, quantitative model development/validation, quantitative analysis, market risk management and regulatory capital calculation.

- Working knowledge of market risk management models such as VaR, Expected shortfall, default risk, Stress-testing, etc. Knowledge of industry best practices in risk modelling methodologies.

If interested, please share your updated resume or can contact us at 9999568357.