Director - Quantitative Modeling - Global Quants Group

Global Quants Group in Mumbai was set up in 2013 as an extension of the Firm's global quants teams around the world. It is a fast growing team covering multiple asset classes across geographies. It provides in-depth knowledge that is behind our Investment Banking, Structuring, Sales & Trading and Research businesses around the globe. Deeply integrated with our Investment Banking business, the team facilitates deals and transactions by providing vital research and insight.

This position is a Quant profile to support the activities of the Group (cross asset classes) globally sitting out in Mumbai. The QR team in Mumbai plays a critical role in providing effective, timely and independent assessments of the Firm's booking models of exotic structures and also help in developing new models for structures as and when necessary.

Team is responsible for developing and maintaining models for valuation, risk and P&L calculations for the rates and emerging market financing desks. The responsibilities of the team include new model specification, model documentation, and model implementation in our quant library, model integration into risk and PL systems. The team is also responsible for working on big data initiatives from collateral optimization to predictive/ML projects.

The primary responsibilities for this role include the following, a mix of both stochastic calculus and statistics work.

- People management along with hands on involvement.

- Develop, implement, enhance, test, review and document extensions to models for pricing and risk management and integrate in to our risk system utilising C++ and Python.

- Maintain and support OPA implemented in Athena and Kapital for the desk globally.

- Develop statistical/machine learning models to assist the desk in spread marking, predicting repo spread volatility and prepayment/drawdowns on loan facility trades.