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Anshul Bangia

Partner at Symphoni HR

Last Login: 23 November 2023

Job Views:  
4166
Applications:  45
Recruiter Actions:  25

Job Code

696018

VP/ED - Quantitative Research - Credit Derivatives - Bank

10 - 20 Years.Mumbai
Posted 5 years ago
Posted 5 years ago

Our client, a leading global bank is looking out for candidates in Mumbai to support the activities of their team (cross asset classes) which is responsible for developing and maintaining models for valuation, risk, PL calculations. The role involves providing assessments of the firm's booking models of exotic structures and also help in developing new models for structures.

Roles & Responsibilities:

- New model specification, going through model approval, ensuring compliance with internal policies and industry regulations implementation of the model in the library to integration into risk and PL systems.

- Developing models for the pricing and risk management of credit derivatives.

- Writing model documentation compliant with internal and regulatory standards.

- Working with model control teams to facilitate timely and efficient review and approval of models.

- Liaising with business functions as well as other quantitative research and control teams.

- Explaining model behaviour, carrying out scenario analysis, developing and delivering quantitative tools and supporting analytics.

Skills:

- More than 10 years of work experience

- Minimum qualification - Graduate/post-graduate (Computer science/Maths) from Tier 1 institute.

- Strong software design and development skills - C++ & Python knowledge and experience.

- An advanced degree in math, statistics, physics, financial engineering, computer science or other quantitative fields is a plus.

- Knowledge of fixed income markets, in particular, credit products and models.

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Posted By

user_img

Anshul Bangia

Partner at Symphoni HR

Last Login: 23 November 2023

Job Views:  
4166
Applications:  45
Recruiter Actions:  25

Job Code

696018

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