AVP - Quant Analyst/Developer

JOB SUMMARY

Deliver product and services to internal and external clients by enabling quant driven development on scalable infrastructure.

ROLE RESPONSIBILITIES

- Drive projects that offer high end quantitative, business driven solutions for complex problems

- Quantitative Analysis on Large Datasets such as Time series analysis, rich cheap analysis, P&L/Business Drivers Analytics etc

- Design & Development of executable pricing tools for cross asset derivative products

- Portfolio Analysis Engine to calculate MTM, Greeks, VaR, RWA, CVA Charge & Funding Charge

- Implementation of regulatory projects such as CRD4 Balance Sheet reduction using optimizations, market data engine for Dodd-Frank Initial margin calculations etc

- Projects are characterized by cross-silo counterparties, large data volumes and sophisticated analytical requirements.

Technical Skills:

- Strong educational background in Engineering/Science (IIT candidates).

- Quant/Analytical Skills -

Experience with applied econometrics (Hypothesis testing, PCA, Linear/Non-Linear Regression etc)

Knowledge of Numerical Optimization Techniques (BFGS, Levenberg-Marquardt etc)

Knowledge of applied linear/Integer linear programming, dynamic programming & greedy algorithms

Experience/Knowledge of working with big data (data science)

- Programming Skills

Advanced knowledge of any one modern programming knowledge (C/C++, Java, Perl, Python, Scheme etc)

Experience with relational database design (oracle, mysql, postgreSQL, DB2 etc)

Experience with Statistical Tools (Matlab, SAS, R etc) and Unix Shell Scripting

Basic knowledge of User Interface design & Implementation (JSP, Javascript, jQuery, HTML etc)

- Financial Analytics

Advanced knowledge of Value At Risk calculations methods (Historical, parametric & Simulations)

Advanced knowledge of portfolio exposure calculations (RWA, CVA, CSA charges)

Advanced knowledge of yield curve construction and vol calibration (boot-strapping, interpolation techniques, sabr/local vol models, smile/skew calibration)

Knowledge of Derivative Pricing Methods (Monte Carlo, PDE/Tree Models)

- Knowledge of instrument specific features and properties of Bonds, FRAs, Swaps,Cross currency swaps, Swaptions, Default swaps, Options

- Advanced Knowledge of margin calculations for listed derivatives and other exchange traded products

- Basic knowledge of valuation, booking, settlement, collateral management and clearing mechanism