Quant Modeller

Our client is one of the global banking firms which provides industry-focused services for clients across geographies. We are currently looking for a skilled professional to join their Quant Modelling team in Pune.

**Key responsibilities**:

- Perform and review daily and intraday valuation for OTC derivative asset types, ensuring adherence to SLAs and maintaining quality controls.
- Validate and evaluate the appropriateness of assumptions and methodologies for valuations and risk calculations of derivatives, identifying errors and potential improvements.
- Oversee and address issues related to process controls, technology escalations, client queries, price challenges, and justifications.
- Provide technological vision for developing a pricing environment for derivative products valuation.
- Participate in the development of pricing environments for new derivative instruments, establishing processes and procedures with appropriate controls.

**Role requirements**:

- Graduate/Master’s degree in Mathematics/ Computing/ Engineering/ Physics/ Quantitative Finance/ Related Engineering Discipline.
- 3+ years of experience in derivative valuation/risk management and basic mathematics/statistics, probability distributions, stochastic calculus/PDE solutions.
- Proficiency in one of the following languages - VBA, R, or Python, data import/export, SQL queries.
- Familiarity with the model life cycle, model validation process, and model design and in-depth knowledge of at least one derivatives product, derivatives pricing.