Senior Quantitative Analyst

2 months ago


New York, United States The Rockridge Group Full time
Job DescriptionJob DescriptionRole: Senior Quantitative AnalystRole DescriptionThe 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.

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