
Quantitative Analyst
16 hours ago
We are seeking a skilled and experienced Financial Model Developer to join our Risk Modelling Team.
The successful candidate will be responsible for developing and maintaining high-quality risk analytics for Market Risk modelling and Counterparty Credit Risk Modelling.
Key responsibilities include:
- Capital Market model development for banks trading derivative products, FX, and Interest Rate Derivative, and securities lending portfolio including equities, Fixed income, and securitized issues.
- Ensuring regular production of analytical work, development of daily trading limit models, Initial Margin models for uncleared trades, and Basel regulatory exposure calculation tools (EAD).
- Collaborating with front office business partners, regulators, Audit Services, and other independent reviewers.
To succeed in this role, you will need:
- A Master's degree in Statistics, Economics, Mathematics, or an advanced degree in quant area.
- B.Tech from a top-tier college with an MBA in a related field.
You should have:
- 2-5 years of hands-on market counterparty quantitative risk-related experience.
- Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques.
- Experience in Python, SAS, advanced Excel techniques, and VBA programming.
- Experience in building stochastic process pricing models and Monte Carlo Simulation models.
- Strong regulatory understanding for banking capital review rule, market risk rules, and model risk compliance.
This is a great opportunity to work on complex projects, develop your skills, and contribute to the success of our team.
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