Quant Analyst - IIT/NIT

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, P&L/Business Drivers Analytics

- Development of econometric based trade idea scanning using multivariate regression, PCA etc.

- Development of pre-trade analytics for Fixed Income Products

- Development of Pricing tools for Rates, FX, Equities & Credit products

Mandatory requirements:

- Candidates from Top tier engineering colleges - Computer Science, Electrical, Maths background

- Graduated between 2010 and 2013

- Need not necessarily be from finance background if programming skills are excellent

- Good with Python / VBA / MATLAB

- Candidates from data science background are also preferred

Technical Skills:

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

- Quant/Analytical Skills:

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

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

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

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

Programming Skills:

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

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

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

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

Financial Analytics:

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

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

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

d) 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

Behavioral Skills:

- Strong communication skills and presentation ability with attention to detail.

- Good problem solving instincts and strong analytical skills