Quantitative Analytics Role (9-15 yrs)

About the Role:

- The roles involves working with an industry leading Corporate and Investment Bank in the CIB Markets support team which is part of the Front Office.

- Specifically, this team does Model Development and Maintenance (MDM) work supporting the Quantitative strategy team. The MDM team is an extension of the US Front Office team.

- The team works in various asset classes like Interest Rate, Credit, Equity, Commodity, FX and XVA on models that are used for pricing, risk management and stress testing. Work activities include but will not be limited to the data and code preparation, data analysis, model testing and documentation of assigned models.

- We are looking for Lead Quantitative Analytics Specialist (Vice President) for this team.

Functional Responsibilities:

As a Lead Quantitative Analytics Specialist (Vice President) the duties would include, but would not be limited to:

- Performing an extensive set of tests (including model performance monitoring) to ensure that Front Office models are robust, consistent and well-behaved under current and distressed market conditions. These activities are formally part of the model development process and should not be confused with testing that is performed as part of the independent model validation process.

- Work with front office IT team and trading team to resolve issue related to the front office libraries used in the pricing.

- Writing code (Python, C++) and refactoring code and unit test cases for quant library. Maintaining proper documentation of all processes and keeping the code up to date.

- Compiling and presenting results in a document which will be submitted to model risk teams for review.

- Participating in the production of formal summary and analysis documentation and reporting.

- Actively participating and contributing in team discussions on project specific areas/assignments

- Answering ad-hoc questions from various stakeholders including US Front Office Quants, Risk, Model Governance etc. by populating templates or creating new reports/extracts as requested by stakeholders