Posted By
Posted in
Banking & Finance
Job Code
1037720
Assistant Manager /Manager- Risk Quant, Market Risk
JD :
- Work in the FSRM service line focusing on Quantitative Modeling and Market Risk Analytics
- The candidate will primarily be working on quantitative modelling and Pricing/Market risk engagements like:
- Validation/development of valuation models across asset classes.- equities, commodities, rates, credit, mortgages.
- Development, testing and validating pricing models using C++/Python/R/client-proprietary tools
- Bachelor's/Master's degree in Mathematics/Financial Engineering/Quantitative Finance/other quantitative disciplines with strong understanding of valuation theories/concepts.
- FRM/CQF/CFA certification would be a plus.
- Knowledge of programming languages (Excel VBA, Python, R etc.)
Skills Required :
- Strong quantitative background - experience in model development or Validation a plus.
- Basic understanding of Mathematics and statistics in terms of linear algebra, probability theory.
- Basic understanding of fixed income and equity derivatives, volatility surfaces, interest rate curve construction and Greeks.
- Good understanding of workings of a Bank (processes, Committees, systems etc.) and Banking products across fixed income, derivatives,= retail etc.
- Understanding of VaR and different VaR modelling and backtesting techniques.
- Understanding of statistical concepts/time series modeling.
- Experience in Python/C++
- Strong communication and documentation skills
About FSRM : FSRM is part of Financial Services Advisory practice. FSRM specializes in undertaking assignments from banking client in the area of risk management. We provide integrated risk management and regulatory services to the banking and capital markets, insurance, wealth and asset management, and private equity sectors.
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Posted By
Posted in
Banking & Finance
Job Code
1037720
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