Senior Quantitative Analyst
MNC Group
- Location
- Mumbai, Maharashtra, India
- Job type
- Full-time
Required skills
- Python
- accounting
- Agile
- banking
- C++
- econometrics
- full-stack
- Git
- Jira
- regression
- Stash
- statistics
- version control
- GAAP
About the role
Website:
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.
- Prior experience in NII modelling, PPNR modelling, Deposit modelling, Treasury modelling, Consumer or client behavioural modelling, Time series regression / analysis, ARIMA / ARIMAX, etc.- Model Development and/or Model Validation.
- Technology - Hand's on programming experience (as a full-stack developer / agile developer etc.). C/C++, Python
- Strong analytical skills & mathematical knowledge: Statistics, Probability, Time Series Analysis, Stochastic Calculus, Numerical Methods etc.
- Background – typically M Sc. Statistics / Economics, Model Development or Model Validation
Click on Apply to know more.
This page is fully interactive when JavaScript is enabled. Please enable JavaScript to apply or browse related roles.