Vice President & Associate - Quant Research - Equity Finance - Corporate Investment Bank

Opening for VP & Associate - Quant Research - Equity Finance - Corporate Investment Bank (CIB).

Quantitative Research team is looking for a strong quant to support all quantitative aspects of the Delta 1, Equity Finance and Global Clearing businesses.

The IS team main activities involve :

1. Risk & Pricing :

- Use probabilities, stochastic processes & other math to model financial instruments & risks.

- Given the nature of the business typical risks and payoffs modelled present non-linearities in the rates, borrow and dividend space - but are typically of delta1 nature (linear in the spot).

- Models span across single name and portfolio level.

2. Data Analytics :

- Analyze data from markets, transactions and business processes, to provide insights into prices and risks, and aid decision making and optimizations.

- This is accomplished through a combination of Statistics and Machine Learning techniques.

3. Trading and Business Optimizations :

- Determining optimal strategies for interacting with the markets to finance or hedge the book.

- This entails modelling synergies between different areas, liquidity, balance sheet, as well as linear and non-linear constraints.

- This is delivered though platforms or algos that fully automate or augment business functions.

The primary responsibilities for this role will include :

- Lead forward developments on trading optimization platforms employed by the Equity Finance business to manage SBL, Synthetic and Cash trading activities.

- Put in place large and scalable architectures, linearize state-space to deal with massive data sets, vectorised coding and distributed computing.

- Liaise with multiple stake-holders to formulate a multi-dimensional objective function across metrics: PnL, Liquidity, RWA, ROA, etc.

- Model trading book dynamics, transaction costs potentially employing Statistical and Machine Learning techniques.

- Document and test new/existing models with traders and with other various control groups, such as the Model Review Group

- Implementation of models in C++ and Python proprietary libraries.

- Work closely with technology on integration of optimization models with front end applications

- Ongoing desk support

Essential Skills :

- Excellent Math background.

- Ability to work with big-data and experience in formulation of optimizations.

- Strong experience in linearization of state-space.

- Strong analytical and problem solving abilities.

- Strong communication/presentation skills.

- Strong programming skills (C++, Python).

- Experience with parallel computing, vectorization and memory management is positively regarded.

- Solid knowledge with CPLEX, GUROBI, MOSEK or other main stream optimization packages is desirable.

- Knowledge of Financial Engineering, Secured Financing and Prime is a plus.

- Previous experience with formulation of Statistical models / hands-on implementation of Machine Learning neural networks is a plus.

- Advanced degree in a technical field from a top-tier school/program : engineering, sciences, computer science, applied math.

Please share the following details alongwith your CV :

- Current Company :
- Current Designation : ___________ Since ________
- Total Exp :
- Relevant Exp :
- Current CTC :
- Exp CTC :
- Notice Period :
- Reason for Job Change :
- Current Location :
- Preferred Location :
- Reporting to :
- Handling a team of :

Tejashree Waradkar
Team Leader
Dir No : +91 22 66848569

Mob No. : 8454843560 /8850817160