Head of Recruitment at Solytics Partners
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Solytics Partners - Senior Quantitative Analyst - Market Risk/Pricing Model/FRTB Quants (7-10 yrs)
Experience: 2-7 Years
Education Qualification: Masters/Ph.D. in (Mathematics, Statistics, Financial Engineering, Economics, Actuarial, MBA or Quantitative discipline). CQF/FRM/CFA would be a plus.
Role Type: Permanent or Contract
Job Description: Solytics is seeking a strong Market Risk professionals to be a member of Model Risk Management (MRM) team focussed on the developing, review, validation and risk assessment of Market Risk, FRTB, Pricing and Valuation models. Candidate must have relevant experience in statistical modelling, simulations, quantitative research, stochastic calculus, market risk management, FRTB or related field.
- Participate in large scale client engagements/projects, meetings, PoC- s, RFP- s
- Conducting model development, independent reviews/validation of the newly
- developed Market Risk/Pricing/FRTB models and methodologies and changes to existing models
- Work with the internal team on some of the niche area in designing analytical framework, automation solutions for market risk and pricing models using NLP, ML, and open source like Python, R, Spark, and AWS
- Write model risk management technical documents (validation report, development and monitoring report) that will be presented to client's stakeholders and respective regulators
- Provide subject matter expertise and support business
- Deliver high quality client services, including work products, within expected timeframe and budget
- Develop and maintain effective relationships with clients and team members
- 2 to 5 years of Financial services experience in Market Risk
- Experience in validating/developing/review of VaR (Historical, parametric, Monte Carlo), RNiV, IRC, Expected Shortfall, Stressed VaR, Backtesting, etc.
- Deep understanding of various derivatives and exotic (Swaps/Swaption, Equities, IR/FX products etc.,) Pricing theories (Black Scholes, Stochastic calculus, Financial Mathematics, Statistics, Linear Algebra, Probability theory etc.,)
- Solid understanding of interest rate curve construction/IR calibration, volatility models,
- Experience in developing/validating methodology for quantitative analysis required on various work stream for FRTB
- Hands-on experience on simulations, stability of model outcomes, benchmarking, stress testing, scenario and sensitivity analysis,
- Good knowledge of Numeric, Murex, Python/R, SQL etc.,
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