Quant Analyst - Treasury

Job Purpose:

- TA has primarily qualitative goals to meet needs of Treasury Business. Treasury analytics concentrates its effort to improve banks capability in pricing the instruments, accurate risk measurement and providing prescriptions to hedge the book. Treasury analytics utilizes available market standard pricing libraries to create derivatives pricing system. This ensures that bank would be able to expand its product offerings in new areas such as interest rate derivatives, structured products and credit derivatives space.

- In order to integrate these pricing methods into bank STP system, analytics group also participates in pricing validation and customization exercise. Group provides analytics support to other groups such as trading desk, sales desk, FINCON, Audit, Market Risk, Mid office and back office in improving their processes. Bank uses various in-house systems for reporting valuations and risk. Treasury Analytics ensures accuracy of valuations and system analytical numbers independently with its own resources and external validators. TA is engaged in analysis and modeling of market data to identify trading strategies, market data exceptions and system setup.

Job Responsibilities(JR) : 6 - 8 Areas Actionable (4-6)

Business Related

- Develop customized valuation utilities for dealers on Fixed Income and FX side.

- Support Independent valuation model validation with external validation firms and auditors.

- Support ad-hoc requests for pricing, risk numbers for FO, MO, CMR and Financial Controls.

- Create and maintain valuation models of treasury software.

- Deliver / install / support pricing templates for treasury front / mid office and risk.

- Interact with dealers, risk managers and mid office for business requirement gathering. Communicate business requirements to IT and implement optimum solution.

- Develop quantitative model based trading ideas based on book profile using tradable and regulatory allowed instruments.