VP/Manager - Quant Valuation Modeling - C++

VP/Manager - Quant Valuation Modeling - C++ mandate

About the team:

To support the activities of the Group (cross asset classes) & Valuation Control Group globally sitting out of Mumbai. The team in Mumbai plays a critical role in providing effective, timely and independent assessments of the Firm's booking models of exotic structures and also help in developing new models for structures as and when necessary.

Agenda for Valuation Control Group. Valuation Control Group is a firmwide control function, independent of the - Front Office- whose responsibilities include independent price verification and determination of pricing and fair value adjustments required to ensure that fair value estimates for the assets and liabilities that are recorded on the balance sheet at fair value are appropriate.

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

Essential Skills :

- Highly analytical bent of mind and quantitative skills;

- Good verbal and written communication and team skills in a multi-location set up

- Strong understanding of financial products - their valuations and risks associated with them

- Knowledge of C++/Python will be a plus

- Close attention to detail and ability to work to very high standards

- Relevant experience of atleast 7-8 years in similar roles / Model Development will be an advantage