Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area?

As a quant professional , you will develop the quantitative models across asset classes including Rates/FX/Equities/Commodities/XVAs /Credit. The models are used for multiple purposes like calibrations, stressed valuations, quantifying model limitation and other adjustments. The major usage category of the models falls under Independent price verification and fair value adjustments to ensure that fair value estimates are recorded for the firm’s assets and liabilities.

The candidate is expected to work independently and drive the QR agendas with multiple stake-holders e.g., Trading / Control Functions / IT / Model Validation. 

Job Responsibilities:

 Build analytics to calculate fair value and limitation adjustments, calibrate model parameters and analyze price dynamics of actual transactions on a cumulative and real time basis for use against independent prices.  Discharge duties including the full-range of programming tasks – problem analysis, solution determination, code design and tool development, integration test and documentation.  Work along with MRGR for the reviews of the models and provide testing as appropriate. Understand risks/issues associated with various pricing models and develop model risk mitigation and quantification of those limitations. Provide quantitative analysis on ad hoc queries raised by stakeholders. Resolve any issues arising in the current model inventory by implementing strategic solutions.  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 and other adjustments for use within regulatory frameworks.

Required qualifications, capabilities, and skills:

Proficient in Mathematics including stochastic calculus and probability and statistics Strong understanding of derivatives, payoffs and valuations across asset classes (Rates/Equities/Credit/XVAs/FX/Commodities etc. ) Hands-on experience in programming, Python is required and C++ is an advantage Practical experience in developing pricing models or working on enhancement of the quant models Close attention to detail and ability to work to very high standards Relevant experience of at least 2-3 years in similar roles in Quant Research and Model Development will be an advantage Good verbal and written communication and team skills in a multi-location set up