Quantitative Research- Market Capital - Vice President
Quantitative Research- Market Capital - Vice President
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Job Description
Are you ready for a thrilling opportunity to join a vibrant team in a challenging environment
As a Quant Modelling Vice President in QR Markets Capital (QRMC) teams team you will play a pivotal role by implementing the next generation of risk analytics platform. The QR Markets Capital (QRMC) teams mission is to build the models and infrastructure used for the risk management of Market Risk such as of Value at Risk(VAR)/Stress/Fundamental Review of the Trading Book(FRTB). The QRMC team in India will therefore play a critical role and support the activities of QRMC group globally. We also work closely with Front Office and Market Risk functions to develop tools and utilities for model development and risk management purposes.
Job responsibilities
- Work on the implementation of the next generation of risk analytics platform;
- Assess model performance perform back testing analysis and P&L attribution;
- Improve performance and scalability of analytics algorithms;
- Develop and enhance mathematical models for VaR/Stress/FRTB;
- Assess the appropriateness of quantitative models and their limitations identifying and monitoring the associated model risk;
- Design efficient numerical algorithms and implementing high performance computing solutions;
- Design and develop software frameworks for analytics and their delivery to systems and applications.
Required qualifications capabilities and skills
- Advanced degree (PhD MSc B.Tech or equivalent) in Engineering Mathematics Physics Computer Science etc.;
- 3 years of relevant experience in Python and/or C along with proficiency in data structures standard algorithms and object oriented design;
- You have basic understanding of product knowledge across a range of asset classes Credit Rates Equities Commodities FX & SPG;
- Youre interested in applying agile development practices;
- You demonstrate quantitative and problemsolving skills as well as research skills;
- You understand basic mathematics such as statistics probability theory;
- You demonstrate good interpersonal and communication skills ability to work in a group;
- Youre attentive to detail and easily adaptable;
Preferred qualifications capabilities and skills
- Experience applying statistical and/or machine learning techniques in the financial industry;
- Knowledge of options pricing theory trading algorithms or financial regulations;
- Experience using multithreading GPU MPI grid or other HPC technologies is a plus;
- Excellent knowledge on data analysis tools in python like Pandas Numpy Scipy etc;
- Knowledge of advanced mathematics such as stochastic calculus;
- Knowledge of frontend technologies like HTML React and integration with large data sets.
Required Experience:
Chief
Employment Type
Full-Time
