Quant Developer

Location
Karnataka, India
Salary
Salary and benefits offered will be market competitive
Posted
Feb 01, 2018
Closes
Apr 02, 2018
Job Function
Other
Employment Type
Full Time
Education
Bachelors

 

The Valuation Control Methodology Group formulates model related fair and prudent valuation adjustment methodologies, gives guidance on price testing methodologies and their implementation, assists on model calibration and model appropriateness across all asset classes [Commodities, Credit, Equities, Convertible Bonds, FX, Fixed Income and XVA].Responsibilities do not include model development or model validation. The team looks at in-house models developed by Front Office, with a specific focus on model deficiencies. The model related fair and prudent valuation methodologies address these deficiencies, and are based on mathematical principles and regulatory guidelines. These are formally documented for internal and external stakeholder review.Currently this group consists of six members (two in London and four in Singapore) and are looking to expand the function to eight members with two roles in Bangalore, India. The team is currently comprised on five quants and one quant developer, who is based in Singapore.This role is for an additional quant developer who will be based in Bangalore and will be line managed by the team’s current quant developer, with a dotted line into the Head, Valuation Control-Methodology, Bangalore. It will involve working closely with the Modelling Infrastructure Group (MIG), Model Validation team (QMR), Front Office, the Modelling & Analytics Group, Group Market Risk and Valuation Control (VC).

Roles and Responsibilities:

 

 

Design and implement the IT infrastructure and policy framework to facilitate and optimize the model related fair and prudent valuation adjustment processes.

 

 

Document the related IT policies and procedures.

- Improve the efficiency of the calculation processes and reduce code maintenance overheads.

- Work with the individual VC asset groups to understand their requirements.

- Undertake continuous improvement of the current systems and Infrastructure.

- Ad hoc projects.