Quantitative Researcher - Model Investigations

This position is a part of the newly set-up Model Investigations team within the Global Markets Group. The Mumbai team would work in sync with the New York team on assessing performance of quantitative models used throughout the firm, including pricing models, risk models, and empirical forecasting models used in major lines of business, including Corporate Investment Bank, Consumer Banking, and Corporate Risk. Team members have opportunities for exposure to a variety of projects and models used extensively within the bank.

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 :

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

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

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

Desired Skills :

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

- 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.

In case you wish to explore this opportunity, please feel free to call me on 7410005864.

Reema

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