Chat

iimjobs

jobseeker Logo
Now Apply on the Go!
Download iimjobs Jobseeker App and get a seamless experience for your job-hunting
08/07 Hiral Shah
Branch Manager at Pylon Management Consulting

Views:5258 Applications:155 Rec. Actions:Recruiter Actions:155

Senior Consultant/AM - Quantitative Modeling - BFSI (3-6 yrs)

Delhi/NCR/Bangalore/Gurgaon Job Code: 235216

- Asset Valuation Modeling : Vanilla/exotic derivatives (FX, Interest Rates, Energy), Fixed Income instruments, structured products (CDO, MBS, ABS) including prepayment/default cash-flow modeling

- Risk Quant Modeling : Greeks, CVA, VaR, ES, PFE modeling

- Statistical/Econometrics modeling : MA, AR, GARCH, ARCH, ANOVA, OLS, Correlation modeling using Cholesky/Copula etc.

- Advanced Numerical/Computational techniques " PDE, Stochastic, Advanced Simulations and Variance reduction techniques, linear optimization, application of Taylor's series, Newton-Raphson, Newton Cotes etc in quant finance

- Experience on regulatory (CCAR, BASEL, DFAST) models related to Cash-flow modeling including prepayment & default modeling, stress testing would be a definite plus. Additionally liquidity risk modeling, economic capital modeling from the regulatory perspective etc. would also be preferred.

- Experience in the Asset Liability Management space related to duration gap modeling, immunization techniques, maturity mismatch quantification, quantification of Interest Rate Risk, Cash-flow projections andNII sensitivity analysis, would be preferred.

Tools :

- Advanced excel skills/programming expertise in VBA from quant modeling perspective is mandatory.

- Working knowledge of Bloomberg is a plus.

- Working knowledge of one (or more)modeling tools - FINCAD, R, SAS, @Risk- would be a plus.

- Knowledge of Programming in C++, Python is highly preferred.

Educational & Professional Qualification :

- Analytical degrees like B.Tech from Tier 1 College (IIT, NIT etc), Masters in Finance, Masters in Applied Mathematics. In addition to these, an MBA or any statistical degree would be a plus.

- Professional qualifications like CQF, CFA, FRMetc would be highly preferred.

Roles and Responsibilities :

- Model Development, Model Validation, Model Documentation & Reviewing Market/Treasury Risk domain.

- Independent price/risk exposure verification for banking portfolio.

- Ability to travel as necessary to meet client needs

- Must work well in a team-oriented environment as well as independently

- Must work creatively and analytically in a problem-solving environment, and should have an ability to think out-of-the box

- Demonstrated advanced written and verbal communication skills

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

Add a note
  • Apply
  • Assess Yourself
  • Save
  • Insights
  • Follow-up
Something suspicious? Report this job posting.