Senior Risk Analyst / Quant Developer

Recruitment World
  • Mumbai
  • Confidential
  • 5-7 years
  • 176 Views
  • 23 Sep 2015
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  • Risk Management, Business Analytics

  • IT/ Technology - Quality Assurance/ Testing, KPO/ Analytics, Banking - Corporate
Job Description

One of the leading KPO is looking for a Senior Quantitative Risk Analyst / Developer to join its global risk team supporting a client, who is operating a credit centric global investment operation. In this position you will provide support to the client's risk management team in their risk reporting, risk model construction, quantitative analysis, compliance and valuation activities. The ideal candidate should have an excellent understanding of quantitative financial risk models, inclusive of their construction and ongoing usage and be proficient in C/C++, Python & Excel/VBA programming. (Specifically as it relates to the programming of financial models) The role will operate from our Mumbai India office and will be supporting all facets of the daily risk management and reporting process for the US based investment team.

Following is a brief description of the daily responsibilities.

Construction & Development of Financial Risk models (Valuation, Market & Credit Risk, Asset Liability Management)
Create, maintain and operate advanced computational algorithms for financial models in programming languages such as C/C++, MatLab and Python.
Maintaining daily production and performing upgrades into production environment of Risk Engine.
Compile and validate data to issue reliable & timely reports which are tailored to the needs of individual fund managers
Monitor and report risk policies, trading risk limits & other controls surrounding various funds and entities on regular basis
Assist the valuation team in periodic valuation of private equity and credit holdings and structured assets.
Compute performance attribution and bench marking against various indices and third-party investment vehicles
Assist in ad-hoc risk reporting projects based on asset liability management for the insurance subsidiaries of the client.
Interact with senior members of the investment and risk management team to evaluate the investment portfolio,perform adhoc analysis, create management reports
Create what-if simulations based upon quantitative models.

Key Skills:

In-depth Understanding of the theory and practices of either Market Risk or Credit Risk is a must
Hands on expertise in programming languages C/C++, Python & Excel /VBA. Knowledge of databases is plus.
Knowledge of valuations & modelling of major asset classes and financial products, especially fixed income / credit and credit derivative securities
Understanding of the macroeconomic events and their impact on investments and fund's performance is highly desirable
Excellent verbal and written communication skills. Ability to communicate the results of analysis to portfolio managers is important.
Dynamic and self-starting individual with an attention to detail, and the ability to manage multiple complex task
Team oriented personality and willingness to multi-task in small project teams.


Requirements:

Minimum Bachelor's degree in Finance, Information Systems, Math or Engineering with MBA/ Masters in Quantitative Finance. Math or statistics preferred
5-7 years of total experience with at least 3 + years in developing Pricing and Risk models using C/C++ in a Global Investment Bank, Buy Side Asset Managers , Consultancies or Service providers.
Ability to write advanced computational algorithms for financial models in programming languages such as C/C++ is essential; ability to write advanced computational algorithms for financial models in programming languages such as Python, MatLab, Excel / VBA, etc. in addition would be viewed favorably
Knowledge of grid-based computing and significant experience in setting up / operating quantitative models over multi-server / grid-based infrastructure is a must-have (in both CPU and GPU environments)
Comprehensive understanding of applications of financial mathematics, statistical methods, quantitative return and risk analytics to investment oriented business problems
Significant experience and very strong theoretical understanding in valuation, stress testing and quantitative analytics for asset structures -- vanilla and exotic; examples include complex embedded options in bonds, structured mortgage and credit assets, exotic derivatives, etc.
Intermediate level understanding of (investment) accounting and life insurance principles would be viewed positively
Knowledge and experience in designing and building data repositories in SQL or equivalent
Ability to build user-interfaces of a risk system using Java/Python will be a plus


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Recruitment World