Quant Researcher - BFS

Quant Researcher

Location: Mumbai

Exp required: 5 to 10 yrs

Key Duties & Responsibilities:

- Develops statistical analysis to measure and model behavior of complex assets and liabilities.

- Take ownership of model development of one or more elements on the balance sheet

- Residential Loans, GNMA Pool Buyouts, Commercial Loans & Leases, Servicing, Deposit Models.

- Balance sheet gap & duration calculation.

- Supports the Asset Liability Management (ALM) team with cash flow and valuation under various scenarios.

- Measure the dynamics of balance sheet behavior to changing macro-economic conditions.

- Leverage macro-economic fundamentals to explain behavior under changing economic conditions for the purpose of scenario analysis and stress testing.

- Document model inputs/outputs for the purpose of audit and review.

- Develop streamlined model performance and tracking reports.

- Liaison with management and financial risk analysts to deploy models within the construct of overall balance sheet risk management framework.

- Analyze hedge activity, interest rate risk inherent in financial instruments managed at the bank, develop risk metrics to accurately measure and assist in engineering hedge programs.

- Leverage third party models where necessary to measure asset/liability behavior.

- Conduct strategic research and analysis for executive management by request.

- Conduct ad hoc research and reports for the Valuation & Analytics teams.

- Develop strategies to maintain data integrity and business workflow efficiency within the banks departments. Provide recommendations for continuous improvement of the department's reports, processes, policies and procedures.

Skills Required:

- Must have the ability to interpret technical-level data with a functional-level understanding of risk analytics.

- Must have strong problem-solving skills, including the ability to formulate solutions to non-routine problems.

- Knowledge of housing and economic research techniques.

- Advanced spreadsheet management skills required.Excel VBA preferred.

- Knowledge of one or more statistical software applications (SAS, Matlab, etc.)

- Knowledge of statistics and advanced mathematics.

- Must be detail-oriented, self-motivated and capable of working independently.

- Must have exceptional time management skills.

- Must have excellent communication skills and a professional ability to work with executive management.

- A combination of a Bachelor's Degree in a Quantitative subject such as Finance, Economics, Mathematics, Statistics or Engineering required AND 2 years' experience or proficiency with SAS and Matlab OR Master's Degree in a Quantitative subject such as Finance, Economics, Mathematics, Statistics or Engineering.