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Analyst Second Year- GMG - MRAD

Mumbai, MH
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  • Banking & Finance
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Job Details

The prime responsibilities for this role will include Model Review Independent quantitative evaluation of the most complex and technical models, focusing on back-testing and benchmarking and would cover methodology, construction and testing of models. Model Governance Establish and maintain a strong, vigorous model validation and review process to help the firm identify and manage model risk. Function would also involve review of models for usage, controls, operational soundness and validation Model Quality Assurance and Validation Ensure quality and consistency and appropriate scope for model reviews across all model reviewers and LOBs. Conduct Gap Analysis of models. Validate Capital Risk models through full simulation and empirical back-testing and comparison of performance of risk models to appropriate benchmark models Reporting and Compliance Familiarity with internal and regulatory guidelines on Model Risk assessment and Reporting; Implementation of remediations; SOX testing; Reviewing the process of Model ReviewIdeal candidates roles would be Graduates/Post-Graduates with good academic record from top Colleges like IITs (Engg./Stats./Math./Economics) with relevant experience in similar roles in Quant Research and Model DevelopmentEssential Skills Product knowledge Good understanding of across a broad array of products used in Markets across asset classes Highly analytical bent of mind and quantitative skills; high level of proficiency in Excel/VBA, S, C / Python programming; proficiency in using statistical analysis software like Matlab, SAS and R; Monte Carlo simulation and High performance computing Close attention to detail and ability to work to very high standards Good communication and team skills in a multi-location set up Experience with Stochastic calculus(SDE, PDE, FE, etc), Numerical algorithms (root finding, optimization, etc), statistical modeling (factor models, copula, Bayesian etc), Time series analysis (ARIMA, GARCH, state space models) will be advantageous
Degree: MCA/ PGDCA | ME/ M.Tech./ MS (Engg/ Sciences)

Additional Degree: BE/ B.Tech (Engineering) | BCA (Computer Application)

Experience: 2-5


Application Programming | Internet/E-commerce | Software Engineer
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