Vice President - MRM Quant - Fixed Income

The role is of a Model Risk Management (MRM) Quant, an individual contributor based in Bangalore, who will be a key member of the Front Office Quants and Analytics team and would be working on the Front office testing and governance of Fixed income derivatives models.

The role requires product knowledge in one or more of following asset classes, in order to understand and implement pricing, risk, PnL, and VaR analytics for the various desks:

a) Interest Rate

b) FX

c) Commodity

d) Credit derivatives

- Cross asset product knowledge including understanding of XVA framework (CVA, FVA, RWA, or KVA) and other aspects of counter-party credit risk management would be greatly advantageous.

- Exposure to Libor replacement projects will be an advantage.

The candidate will be able to -

- Challenge Model assumptions and find out limitations of the models

- Engage with Senior Quants, Quant Developers to understand expected model behaviour

- Identify and perform various tests to ensure that the model performs as expected

- Document the model validation exercise

Ideal Candidate:

- Appropriate academic degree (MBA in Finance, Masters in Financial Engineering, Mathematics or equivalent from tier-1 university)

- Candidates with experience in a similar role would be considered for senior positions, recent post-graduates from top tier universities welcome to apply

- Knowledge of Fixed income OTC derivatives products.

- Excellent Mathematical Skills including Stochastic calculus, Numerical methods, Monte Carlo Simulations.