PnL Attribution Analytics

Millennium; Mumbai; On-site; INR 1,500,000 - 2,500,000; Full time

Job summary

Millennium is seeking a quantitative analyst in Mumbai to support PnL explains and option-volatility pricing, collaborating with PMs and quants. The role emphasizes accurate PnL attribution, risk-aware analysis and UI improvements for pricing tools.

Applicants should hold an advanced quantitative degree, strong Python coding skills, and the ability to manage multiple priorities in a fast-paced environment. Location: Mumbai, India.

Qualifications

• Advanced degree in a quantitative subject such as Engineering or Maths.
• Strong analytical skills and knowledge of derivatives pricing models.
• Experience with coding (Python) is required.
• Effective verbal and written communication skills.
• Ability to manage multiple tasks simultaneously.

Responsibilities

• Support rebucketing of option-volatility PnL explains at PM level and allocate PnL to risk buckets.
• Investigate drivers, reconcile differences, and explain PnL explains for PMs.
• Contribute to improving the PnL explain UI with developers and quants.
• Maintain high quality control around PnL allocation.
• Explain main drivers of PnL against risks and market moves with accuracy.
• Understand Greeks and PnL drivers and pricing interactions.

Skills

Python

Derivatives pricing

Analytical skills

Communication

Multitasking

Education

Advanced degree in quantitative field

Job description

About Millennium

Millennium is a global, diversified alternative investment firm, founded in 1989. Defined by evolution, innovation and focus, Millennium’s mission is to deliver results for our investors.

About Millennium

Millennium is a global, diversified alternative investment firm, founded in 1989. Defined by evolution, innovation and focus, Millennium’s mission is to deliver results for our investors.

Our people are empowered with both independence and support: the autonomy to pursue ideas with conviction and the backing of a global network committed to collaboration, disciplined risk management and continuous learning.

With opportunities to deepen expertise and accelerate development, talent at Millennium is equipped to adapt, evolve and build lasting impact over time. Discover how transformative growth accelerates impact.

Meet the Team

The team (Equity Valuations / Portfolio Pricing and Valuations) is responsible for pricing and valuing equity positions and independently verifying marks across the firm's equity books globally (US, EMEA, APAC).

What You’ll Do

• Support the rebucketing of option-volatility PnL explains at PM level, ensuring that PnL is allocated to the appropriate risk buckets and aligned with the underlying risks and market moves.
• Support PM enquiries around PnL explains by investigating drivers, reconciling differences and providing clear, timely explanations.
• Help improving existing PnL explain User Interface by actively participating in projects with developers and quants to investigate and resolve pricing, PnL or Risk issues.
• Maintain high standard of quality control checks and procedure around PnL allocation.
• Explain and validate the main drivers of PnL, against risks and market moves, ensuring accuracy and timely delivery.
• Understanding the Greeks and PnL drivers, with a strong intuition of how the interaction of various parameters can affect pricing and PnL.

What You Bring

• Advanced degree in a quantitative subject, such as Engineering or Maths, and at least 2 - 5 years of relevant work experience
• Strong Analytical Skills and advanced knowledge of derivatives pricing models
• Experience with Coding (Python) is required
• Effective verbal and written communication skills
• Ability to work on multiple tasks simultaneously.