Job Description

Role Title Quantitative Analyst Job Location Mumbai Summary The role forms part of the Risk Quant team within Global Markets team. Risk Quant team is also part of the Integrated Risk Analytics team. Job Profile Validation of pricing models of derivatives products across all asset classes such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures. Provide quantitative support to front and middle office across all trading desks with respect to valuations and modelling. Knowledge of yield curve methodologies and calibration of rate and credit curves. Programming experience with object orientated languages, e.g., Python/C++/R/C#. Validation of components XVAs for structured deals. Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems. Validation of calibration parameters for the various components under different stochastic processes. Experience with regulatory models for market risk, initial margin etc. Skills and Knowledge Relevant experience of 2-6 years. Candidate should display knowledge of derivative instruments, pricing, and valuation as well as risk profiles. Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches. Knowledge of quantitative risk management models, stochastic calculus, statistics, and numerical resolution methods. A CQF/CFA/FRM/BTRM qualification would be an advantage. Role & responsibilities Preferred candidate profile Perks and benefits