CogNext - Risk Quant/Model Development Role

Job Description

- As a Risk Quant/Model development & Implementation based out of Mumbai, you would be responsible to:

- Design, build and deliver robust and production quality Python code within a unified library for use within Market Risk, SIMM, Counterparty Credit Risk Capital, CVA Analytics & Derivative Pricing.

- Work with Market Risk Analytics Team to ensure delivery of robust python code to support model developments & Implementation for FRTB, SIMM, CVA, derivative Pricing & CCAR Projects.

- Assist with development of mathematical & statistical models for Market Risk Analytics, Model Validation and RWA Capital Computation Projects.

- Deliver high quality documentation and presentations to support and maintain model developments and its use.

- Liaise with Treasury, Risk, Technology Team and business stakeholders to ensure that Risk Model requirements are met and implemented successfully in a production environment.

The Successful Applicant

As a successful candidate for the role of a Risk Quant- Model Implementation, you should be:

- Master degree in a quantitative discipline with a major computer science component such as Financial Engineering (MFE), CQF, & MSc-Stats/Math 

- Industry experience in quantitative finance. This may be replaced by relevant academic or industrial experience in computer science.

- Able to deliver to tight deadlines on quantitative Finance projects.

- Industry experience developing in Python, VBA & Excel based Risk Model

- Market Risk Model Validation & Review as per FED-SR-11/7 & TRIM regulatory guidelines would be an advantage.

- Experience in quant finance with good understanding of derivative pricing models, Risk Model (like VaR, Stress VaR, Expected Shortfall-ES), Stochastic Calculus, Ito's Lemma, GBM, MCS & Numerical Method like Monte Carlo Simulation & Finite difference Method.

- Some form of source control experience (git, perforce, svn)/ SDLC (JIRA, bitbucket).

What's On Offer

Opportunity to work with the most talented people in the risk industry and on the cutting edge projects to deliver some innovative risk solutions across the MENA, APEC, Europe and NA region.