Senior Quantitative Analyst

Job Description

Job Description

Role : Senior Quantitative Analyst

Role Description

The Market Data Solution (MDS) and Risk Master (RM) businesses are seeking a high caliber candidate to join as a Senior Quantitative analyst their Mumbai office. This is a high-profile role which requires strong modelling skills coupled with a strong commercial awareness and excellent communication skills. Knowledge of market data processes or data modelling would be very useful but is not essential.

Reporting to the Business Owner for MDS and RM, the key responsibilities are as follows

• Develop APIs to for both open source and bank in-house quantitative libraries and market risk engines for both calibration as well as valuation use cases, e.g.
• Zero Curve Calibration / Bootstrapping
• Hull White Model Calibration
• Put-Call Parity Analysis on Market Vol Data
• SABR Model Calibration
• Cubic Spline Interpolated Zero Rates
• Credit Curve (Survival Probabilities) Calibration / Bootstrapping
• Risk Factor de-composition : Regression of NonModellable Z-Spread Risk Factor on comparable Modellable Z-Spread Risk Factors to determine Modellable Explained and NonModellable Unexplained Risk Factors
• PCA for Curve Validation
• FX Stochastic Volatility Model : Heston implementation

The role involves the integration of these APIs into the GoldenSource data model. To do this effectively the successful candidate will need to understand these models in the quant or market risk libraries

FRTB Risk Factor Eligibility Test

To be considered for this role you will need to have the following :

You will also need strong communication skills and the ability to articulate complex problems and solutions to all audiences. In addition, you should enjoy working in a fast-paced environment and be able to work to tight timescales. Excellent analytical skills with a strong focus on accuracy of information coupled with determination are also desirable skills.