FO Quantative modeller

Mumbai - India

Monthly Salary: Not Disclosed

Posted on: 18 hours ago

Vacancies: 1 Vacancy

Job Summary

Job Description:

Develop review and validate Front Office pricing and risk models grounded in stochastic calculus
numerical methods and quantitative finance theory.
Work extensively with industry standard models such as Hull White (1F/2F) SABR Local Volatility LMM
credit models and hybrid derivatives frameworks.
Partner closely with trading desks structuring teams and Front Office stakeholders to support product
pricing hedging strategies and model enhancements.
Perform model validation benchmarking and sensitivity analysis for spot/forward pricing engines volatility
surfaces and curve construction methodologies.
Implement and test quantitative models using Python and/or C with exposure to production level code
and real time trading systems.
Analyze and validate Greeks XVA and risk sensitivities ensuring accuracy stability and consistency under
stressed market conditions.
Support market risk analytics including VaR stress testing scenario analysis and model back testing
aligned with regulatory expectations.
Apply quantitative techniques including time series analysis statistical inference Monte Carlo simulation
and numerical optimization.
Ensure compliance with model risk management frameworks (e.g. SR 11 7) including documentation
governance and audit support.
Develop a strong understanding of Front Office workflows trading system architecture data sources and
end to end valuation processes.

Job Description: Develop review and validate Front Office pricing and risk models grounded in stochastic calculus numerical methods and quantitative finance theory. Work extensively with industry standard models such as Hull White (1F/2F) SABR Local Volatility LMM credit model...