Quant Analyst - BFSI

- Working on development of models used for measurement of market risk capital including but not limited to VaR, Stressed VaR, Comprehensive Risk Measure, Risks not in VaR, Incremental Risk Charge and Economic Capital.

- Key responsibilities include understanding business requirements and regulatory guidelines to determine appropriate modelling methodologies. Analyse and fill market data gaps for development using appropriate methods.

- Model prototyping and testing, assessing the models based on prescribed guidelines, use and purpose. Providing adequate support for methodology choice and preparing comprehensive model documentation as per guidelines. Working closely with model validation for review and approval, remediating any issues highlighted by model validators.

- Take ownership across model implementation phases and interact with stakeholders across front office, technology, operations and control.

- Contribute to key regulatory programs like FRTB, stay updated with latest development in Internal Model Risk policy, external regulatory requirements and guidance for market risk models.

- Preparing and presenting reports to senior management, auditors and external regulators as part of management committee meetings or workshops.

- Mentoring junior resources in the team, assisting in preparing project progress reports and communicating actively with clients.

- PhD or Master's or Bachelor's degree in - Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience.

- The candidates are required to have strong knowledge and understanding of market risk modelling and risk management, scenario generation, capital calculations.

- Proven experience in risk management best practises, financial markets & an understanding and awareness of the regulatory landscape as per EBA and Basel.

- Good mathematical and numerical skills with excellent knowledge of quantitative finance, probability, statistics and derivative pricing theory. Ability to explain complicated concepts with ease to a wide range of audiences.

- Must have experience developing production applications using one of C++, C#, Python or any other object oriented language. Useful to have experience in MATLAB, R or SAS.

- Familiarity with Excel-VBA, SQL databases and should be comfortable dealing with large datasets of market data for different asset classes.

- Good communication skills, team-work and flexibility