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Trade Finder - Quant

Mumbai, MH
Job Code:
  • Banking & Finance
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Job Details

1. Drive projects that offer high end quantitative, business driven solutions for complex problemsa. Quantitative Analysis on Large Datasets such as Time series analysis, rich cheap analysis, P&L/Business Drivers Analytics etcb. Design & Development of executable pricing tools for cross asset derivative productsc. Portfolio Analysis Engine to calculate MTM, Greeks, VaR, RWA, CVA Charge & Funding Charged. Implementation of regulatory projects such as CRD4 Balance Sheet reduction using optimizations, market data engine for Dodd-Frank Initial margin calculations etc2. Projects are characterized by cross-silo counterparties, large data volumes and sophisticated analytical requirements.Desired Candidate Profile1. Strong educational background in Engineering/Science (IIT candidates).2. Quant/Analytical Skills a. Experience with applied econometrics (Hypothesis testing, PCA, Linear/Non-Linear Regression etc)b. Knowledge of Numerical Optimization Techniques (BFGS, Levenberg-Marquardt etc)c. Knowledge of applied linear/Integer linear programming, dynamic programming & greedy algorithmsd. Experience/Knowledge of working with big data (data science)3. Programming Skillsa. Advanced knowledge of any one modern programming knowledge (C/C++, Java, Perl, Python, Scheme etc)b. Experience with relational database design (oracle, mysql, postgreSQL, DB2 etc)c. Experience with Statistical Tools (Matlab, SAS, R etc) and Unix Shell Scriptingd. Basic knowledge of User Interface design & Implementation (JSP, Javascript, jQuery, HTML etc)4. Financial Analyticsa. Advanced knowledge of Value At Risk calculations methods (Historical, parametric & Simulations)b. Advanced knowledge of portfolio exposure calculations (RWA, CVA, CSA charges)c. Advanced knowledge of yield curve construction and vol calibration (boot-strapping, interpolation techniques, sabr/local vol models, smile/skew calibration)d. Knowledge of Derivative Pricing Methods (Monte Carlo, PDE/Tree Models)5. Knowledge of instrument specific features and properties of Bonds, FRAs, Swaps,Cross currency swaps, Swaptions, Default swaps, Options6. Advanced Knowledge of margin calculations for listed derivatives and other exchange traded products7. Basic knowledge of valuation, booking, settlement, collateral management and clearing mechanism.
Degree: CA (Chartered Accountant) | MBA/ PGDM

Additional Degree: BA (Arts) | B.Com. (Commerce) | B.Pharm. (Pharmacy) | B.Plan. (Planning) | B.Sc. (Science) | BBA/ BBM/ BBS | BCA (Computer Application) | Diploma-Other Diploma | B.Ed. (Education) | BHM (Hotel Management)

Experience: 3-7


Portfolio/Fund Mgmt | Project/Structured Finance | Risk/Credit/Economic Analyst | Trading
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