Quantitative Modelling -Analyst
BCIT Bengaluru Office (MGS), India
INR 2400K-3000K (estimate) Mid-level Full Time
Tasks
- Apply stochastic calculus concepts
- Build pricing models for interest rates and volatility
- Collaborate on user stories delivery
- Conduct UAT testing
- Develop valuation models across asset classes
- Perform VaR modelling and backtesting
- Support model risk management regulatory guidelines
- Use C++ C# Excel VBA and Python to implement models
- Use JIRA and Confluence for project management
- Validate pricing model outputs through testing
Perks/Benefits
- N/A
Skills/Tech-stack
Backtesting | Basel | C# | C++ | Capital Calculation | Confluence | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Equity Derivatives | Excel VBA | Fixed Income | Greeks | Hull-White | Hybrid Models | Integration Testing | Interest Rate | Interest rate curves | Jira | Linear Algebra | Local Volatility | Model Risk Management | Model risk | Probability theory | Python | RWA | Rate Curves | Risk Management | SABR | Series analysis | Stochastic Calculus | Stochastic Local Volatility | Time Series | Time Series Analysis | Unit Testing | VAR | Volatility surfaces
Education
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