Official Title : Vice President

Functional Title : Senior Quantitative Analyst

Work Experience : 6 to 11 years

- Its Model Risk Governance and Review (MRGR) in Mumbai was set up in 2016 as an extension of the Firm's global MRGR teams around the world. This position is a part of the newly set-up Ongoing Performance Monitoring team within MRGR Mumbai.

- 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 :

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

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

Programming :

- Ability to write clean and efficient code in Python or any other high-level language

- Working knowledge of object-oriented design and development skills

Communication :

- Excellent written and verbal communication skills as the frequent sync-ups with the New York & London teams would be expected.

Desired Skills :

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 11 years of experience. A computer science or mathematics background would be most suitable.

- Its Model Risk Governance and Review (MRGR) provides a challenging work environment and excellent opportunities to learn and grow both within MRGR and in the Firm's global network.

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