Senior Quantitative Analyst

Job Description

Role: Senior Quantitative AnalystRole 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

Work with the development and pre-sales teams to prototype solutions for Market Risk and FRTB Use cases, e.g.

FRTB Risk Factor Eligibility Test

Shock generation for Equity Vol Smile using gap filling

Reconstruction of Equity Index time-series using proxy weightings

Aggregation of risk sensitivities in Risk Warehouse for the standardized approach

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

MSc or PhD in Financial Mathematics, Mathematics or Physics or equivalent work experience

Strong Knowledge of option pricing theory and financial mathematic

Experience in a quantitative role for interest rates, FX or equities gained in an investment bank

Experience in model’s development, programming and maintenance of model’s libraries

Knowledge of derivatives products

Strong programming skills in Python

Good data modelling skills including some experience with RDMS

Strong Excel

Knowledge of Hadoop or Java would be good but not essential

Prior experience of Open Gamma Strata or QuantLib would be good but not essential

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.

Full-time