Quantitative Risk Management Role - Quant Research - Investment Bank

Opening with Investment Bank- Quantitative Risk Associate -Bangalore 4-8 Years

Must have Master/Phd degree in Math or statistics or financial Engineering degree from a good institution

Skills & Software Requirements:

Programming languages such as C++/C#, R, VBA and SQL are essential.

The Quantitative Risk Associate will be responsible for developing Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.). This associate will also work to develop strategies to perform back-testing to ensure the adequacy of margin coverage and model assumptions.

Principal Accountabilities:

- Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.

- Enhance existing risk models as well as design/prototype new models across different asset classes like OTC and Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).

- Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure .

- Present results to Sr. Management and/or Risk Committees.