Developer algorithm quant- Associate

Quant Blueprint LLC; Mumbai; On-site; INR 2,500,000 - 3,500,000; Full time

Job summary

Quant Blueprint LLC in Mumbai is seeking a Quant Model Risk Vice President to join their Interest Rates team. The successful candidate will assess model risk and manage junior team members while collaborating closely with model developers and users.

Ideal candidates will have significant quantitative experience, expertise in probability theory, and strong coding skills. The role involves hands-on assessments of complex pricing models and providing guidance on model usage.

Qualifications

• Significant experience in a front-office or model risk quantitative role.
• Inquisitive nature with ability to escalate issues.
• Good understanding of option pricing theory.

Responsibilities

• Carry out model reviews and analyze complex pricing models.
• Liaise with model developers and provide guidance on model risk.
• Manage and mentor junior team members.

Skills

Probability theory

Stochastic processes

Statistics

Partial differential equations

Numerical analysis

Excellent communication skills

Coding in C/C++ or Python

Education

MSc, PhD or equivalent in a quantitative discipline

Job description

Overview

We are looking for a new member to join our Interest Rates team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm.

As a Quant Model Risk Vice President in the Model Risk Governance team, you will assess and help mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes. Additionally, you will have exposure to a variety of business and functional areas and will work closely with model developers and users. You will also have managerial responsibility to oversee, train and mentor junior members of the team.

Job responsibilities

• Carry out model reviews: analyze conceptual soundness of complex pricing models, engines, and reserve methodologies; assess model behavior and suitability of pricing models/engines to particular products/structures; provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models; develop and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics
• Liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk
• Evaluate model performance on a regular basis
• Manage and develop junior members of the team

Required qualifications, capabilities, and skills

• Significant experience in a front-office or model risk quantitative role
• Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
• MSc, PhD or equivalent in a quantitative discipline
• Inquisitive nature, ability to ask right questions and escalate issues
• Excellent communication skills (written and verbal)
• Good understanding of option pricing theory (i.e. quantitative models for pricing and hedging derivatives)
• Good coding skills, for example in C/C++ or Python

Preferred qualifications, capabilities, and skills

• Experience with interest rates derivatives