Associate Quantitative Research

ABC Consultants Pvt. Ltd.
  • Mumbai
  • 16-24 lakh
  • 3-3 years
  • Views
  • 07 Apr 2017

  • Audit and Assurance

  • IT/ Technology - Software/ Services, Investment Banking, Banking - Corporate
Job Description

Global Markets Group (GMG) in Mumbai as an extension of the Firm’s global markets teams around the world. GMG is a fast growing team covering multiple asset classes across geographies. GMG provides in-depth knowledge that is behind our Investment Banking, Structuring, Sales & Trading and Research businesses around the globe. Deeply integrated with our Investment Banking business, the team facilitates deals and transactions by providing vital research and insight.

This position is a Quant profile to support the activities of the Group (rates asset classes) globally sitting out of GMG in Mumbai. The team in Mumbai plays a critical role in providing effective, timely and independent assessments of the Firm’s booking models of exotic structures and also help in developing new models for structures as and when necessary.

The primary responsibilities for this role will include:

? Model Development: Devising/improving models on new/existing product strategies, building models in the firm’s platform, back-testing of strategies and reconciling back-tests with model outputs.

? Product Pricing models: Independently prepare pricing models for derivative product structures using internal pricing models as per the client requirements.

? Booking/ Deal Review: Independent quantitative evaluation of complex and technical models, focusing on payoff construction and would cover methodology, construction and testing of models.

? Reporting and Compliance: Familiarity with internal and regulatory guidelines on Model assessment and Reporting; Implementation of remediation; reviewing the process of trade booking in the proprietary systems

? Programming: Must have demonstrated programming experience with C++. Experience in working / creating customized C++ libraries will be a plus.

? Software Engineering: Duties including the full-range of programming tasks – problem analysis, solution determination, code design and development, integration, test, modification and documentation

 

Overall, the candidate will need to work closely with teams in Asia-Pacific and/or London and/or New York and will need to be proactive to improve desk efficiencies, access and learn bank highly sophisticated solutions.

Essential Skills:

§ Highly analytical bent of mind and quantitative skills; high level of proficiency in C++ / Python programming; 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

§ Relevant experience of atleast 3 years in similar roles or Model Development will be an advantage

 

Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable.


Competencies/Skill sets for this job

Interest Rates Model Development Quantitative Modeling

Job Posted By

Maaz Ansari
Sr. Consultant

About Organisation

ABC Consultants Pvt. Ltd.