Vice President - Quantitative Research - Market Risk/Rates Modeling/Credit Risk - BFS

Our client is a leading global bank. The Quantitative Research team of our client in Mumbai is looking for 3 VP roles - VP (Rates), VP (Credit Risk & P&L), and VP (Market Risk)

The Market Risk QR team is responsible for building the models and infrastructure used for the risk management of market risk such as of VAR and stress. The team is looking for a VP candidate for implementation of next gen Market Risk analytics platform, pricing models, delivery for analytics, improvement of performance and scalability of analytics algorithms, automation of the models monitoring.

- Degree in Maths, Computers, Physics, or Engineering

- Expertise in C++

- Expertise in Python (Numpy, Scipy, Pandas, Sci-Kit Learn) 

- Expertise in Data Structures

- Expertise in Standard algorithms and OO design

- Software design and implementation skills

- Pricing Models theory -

- Stochastic calculus -

- Software Development using multi-threading, GPU, MPI, grid, or other HPC technologies -

- Tier 1 college is highly desirable

- VP, Rates

QR Rates team is looking for a VP for model research & development and pricing & risk investigation for enhancing pricing and risk models, implementing them in Python & C++, identify major sources of risk in portfolios, carry out Scenario Analysis and provide Guidance or Debug analytics.

Software development

- Expertise in C++

- Expertise in Python

- Python Libraries

- Excellence in Probability Theory, Stochastic Calculus, PDE and Numerical Analysis

- Relevant work experience in QR and Model Dev.

- Exposure to fixed income derivatives

- Advanced Degree in Computers & Mathematics

- Tier 1 college is very highly desirable

- VP, Credit Risk and P&L

Global Spread Business (Credit, SPG, and Public Finance Markets) team is looking to hire for a Quant Role for development and maintenance of models for valuation, risk and P&L calculations, quoting and market making algorithms and analysis tools.

- Strong programming skills

- One scripting language and one Compiled programming language

- Efficiency in stochastic calculus

- Parallel/distributed computing is a plus

- Degree computer science or mathematics background

- PhD in numerate subject