Quantitative Strategist - Structure Rates, Senior Associate/Manager, Fixed Income Division
COMMERZ III, OBEROI GARDEN CITY, India
INR 2500K-3500K (estimate) Senior-level Full Time
Tasks
- Analyze pricing model limitations
- Automate routine tasks
- Build and maintain pricing algorithms
- Build risk analysis algorithms and implement risk management tools
- Communicate model behavior to traders
- Develop and maintain risk and valuation models tools
- Develop pricing risk and analytics tools
- Improve market models for interest rate derivatives
- Maintain model documentation and testing evidence
- Monitor profit and loss attribution
- Perform stress tests and scenario tests
- Respond to model risk and control group inquiries
- Support interest rate derivatives trading desk
- Support model testing and approvals
Perks/Benefits
- N/A
Skills/Tech-stack
Bermudan Options | C++ | Caps | Interest Rate | Interest Rate Derivatives | Interest rate modeling | Interest rate options | Java | LMM | Loss Attribution | No Arbitrage | No-arbitrage pricing | Numerical Methods | PnL Attribution | Probability | Profit and Loss | Profit and Loss Attribution | Python | Rate modeling | Risk Management | SABR | Scala | Scenario testing | Short Rate Models | Stochastic Processes | Stress Testing | Swaptions
Education
Bachelor of Engineering | Bachelor of Science | Master of Science
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