- Location
- Mumbai, Maharashtra, India
- Job type
- Full-time
Required skills
- Python
- accounting
- Agile
- banking
- C++
- econometrics
- full-stack
- Git
- Jira
- Stash
- statistics
- version control
- GAAP
About the role
Website:
grafton.com
Job details:
- Prior experience in Risk / Finance / Quant Modelling (across at least some of the these) - Treasury Risk (Interest Rate Risk of Banking Book-IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cashflow management for testing IFRS and GAAP accounting), ICAAP VAR (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, Model Implementation.
- Technology - Hand's on recent coding experience (as a full-stack developer / agile developer etc.) Preferable language Python, Python-OOP, C/C++, Version control methods (git, stash, JIRA).
- Knowledge of internal frameworks (such as MEF) and Basel IRRBB framework is advantageous.
- Advanced Technical Degree: Statistics, Engineering, Numerical Analysis, Mathematics, Econometrics, Financial Engineering, Computer Science
Treasury [IRRBB metrics] has a large overlap with Market Risk - candidates with Market Risk model development experience shall also be considered.
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