Quant Research Analyst - Valuation Control Group - Investment Bank - IIT/NIT

This position is a Quant profile with one of our Global Investment Banking Client to support the activities of the Quantitative Research Group (cross asset classes) & Valuation Control Group globally sitting out of Mumbai.

This role in particular will be the lead role for managing a team of Quants who will be dedicated to work on the QR agenda for Valuation Control Group.

The primary responsibilities for this role will include:

- Documentation and Compliance: Familiarity with internal and regulatory guidelines on Model assessment and Documentation; Support the VCG team in all topics related to model agenda

- Model/Tool Development: Build calibration tools for price testing, tools to calculate model limitation adjustments, tools to analyze price dynamics of actual transactions on a cumulative and real time basis for use against independent prices etc.

- Thought Leadership/Methodology: Work alongside VCG to devise and implement sophisticated and consistent methodology for solving business problems including but not restricted to position netting for use in calculation of valuation adjustments, VA stress for use within CCAR framework etc.

- Programming: Experience in working / creating customized C++ libraries/Python will be a plus.

- Software Engineering: Duties including the full-range of programming tasks - problem analysis, solution determination, code design and development, integration, test, modification and documentation

Required Background

- 1-8 years of experience in derivative valuation, risk modelling/ validation

- PhD or Post-Graduate Degree in Business/ Statistics/ Mathematics/ Economics/ other quantitative disciplines would be preferred.

- Engineering graduates from premier institutions like an IIT or NIT with relevant work experience are also encouraged to apply

Strong knowledge on any of the following two areas:

- Financial products - their valuations and risks associated with them

- Market risk model development or validation, enabling a clear understanding of the modeling skills required for regulatory risk calculations viz. VaR, IRC, RNIV / FRTB - ES, NMRF, sensitivity-based risk charge, DRC

- Understanding of broad risk regulatory landscape - development & validation

- Knowledge of quantitative methods - time series analysis, PDE, stochastic calculus

- Strong problem solving and technical skills

- Programming skills: C++ or Java/ any object oriented language, R, Matlab

- Strong verbal and written communication skills

- Certifications such as CQF, FRM and CFA will be a plus