Senior Quant Analyst - Derivative Product - BFS - IIT/NIT/BITS/IIM/MDI/ISB

Senior Quant Analyst- Derivative Product

Role :

- The individual will be responsible for developing and maintaining quantitative models to assess hedging requirements, developing new insurance product strategies using derivative instruments, optimising the company's asset-liability management (ALM) position.

- The individual should have a minimum of 3-6 years of working experience in either of quantitative research, product structuring using derivatives, risk management solutions and should possess a strong analytical mind-set. Knowledge & understanding of insurance liabilities is an added advantage.

Duties and Responsibilities :

- Assessment of different derivative products for the purpose of hedging interest rate and other risks.

- Developing strategies which involves replicating equity option pay-off, including, but not limited to Option based portfolio insurance strategies (OBPI), CPPI, etc

- Assess the solvency and capital impact of various strategies.

- Measuring & quantifying the risks involved in different strategies in terms of VaR & other risk measures.

- Developing tools for testing effectiveness of hedging & other strategies

- Monthly management reporting on performance of various strategies

- Experience and Education Requirements :

- Well-versed with structuring of product/risk management solutions using fixed income & equity derivatives

- Working knowledge of ESG models

- Good understanding of finance, mathematical finance, economics, accounting, investment, and insurance principles and practices.

- Bachelor's/Masters in Computer Science/Statistics/Engineering preferably from from Tier 1 colleges

- MBA from IIM A/B/C/L may also apply

Interested candidates please share your CV.