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22/01 Dhonika Joshi
Headhunter at ABC Consultants

Views:10187 Applications:268 Rec. Actions:Recruiter Actions:62

Vice President - Pricing - Python - IIT/NIT/IIIM/FMS/MDI (6-14 yrs)

Mumbai Job Code: 788618

VP (Pricing -Python)

Primary Responsibilities:

- Quantifying model performance with an in-depth analysis of various model characteristics

- Heavy-duty empirical data analysis to identify potential model weaknesses

- Design and implement Python-based scripts within the firm's proprietary framework (Athena) to facilitate model investigations and associated data analysis

- Investigate potential model issues

Essential Skills:

- Knowledge of Derivatives: Strong expertise in derivatives theory with a very good understanding of Greeks (Delta, Gamma, Theta etc.) and other risk components.

- Programming: Good in algorithms and ability to code in high-level languages such as Python.

- Communication: Excellent written and verbal communication skills as the frequent sync-ups with the New York team would be required.

Desired Skills:

- Quantitative and Analytical Skills: Good knowledge in probability theory, statistics, econometrics, and numerical analysis. Highly analytical bent of mind.

- Mathematical Finance: Experience with Stochastic calculus (SDE, PDE, FE etc.), Numerical algorithms (root finding, optimization etc.), statistical modeling (factor models, copula, Bayesian etc.), Time series analysis (ARIMA, GARCH, state space models)

Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute with 6 to 10 years of relevant work experience. A computer science or mathematics background would be most suitable.

Note- Hands on experience in python is mandatory.

Women-friendly workplace:

Maternity and Paternity Benefits

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