CRISIL - Quant Specialist - Quant Development/Derivative Pricing

Job Duties :

- Act as the Subject Matter Expert and provide thought leadership on Quantitative Development projects for Asset Management Clients

- Drive the development, enhancement and maintenance of pricing libraries in the Client's proprietary analytical platform.

- Responsibilities would include reviewing quantitative codes, integration of the codes into pricing library and adopt best practices for new model development.

- Pricing of derivative products such as:

- Interest Rate Derivatives (Interest rate swap, Overnight indexed swap, Currency swaps, Basis swap etc. (Swaptions), FRA.

- FX derivatives (Barrier, Look-back, Touch options etc.)

- Completely own and drive project's overall delivery quality, timelines and SLAs

- Front-ending with the client and managing expectations from delivery perspective

- Mentor junior team member(s) of the project and develop talent

- Supporting the engagement lead in overall governance

Skills Required:

Strong background in Quantitative Finance and development (mathematical financial derivatives models and pricing)

- Domain knowledge of Vanilla and Exotic derivative products esp. Interest Rates/FX products is a must

- Knowledge of Option Pricing models would be an advantage

- Strong programming skills in Java/ C++

- Exposure to data sources such as Bloomberg for inputs to the pricing models

- Strong client orientation, communication and interfacing skills with Global clients and stakeholder management