Quant Risk

Quaestoradvisors; Bengaluru; On-site; INR 3,500,000 - 7,000,000; Full time

Job summary

Quaestoradvisors in Bengaluru seeks an experienced risk quant to support the risk management team by performing quantitative and data analysis across fixed income, credit, and FX. You will model risk capital, analyze shocks and scenarios, and prepare portfolio insights and charts for internal and client presentations, interfacing with US/London teams.

The role requires 8+ years in financial markets, strong bond math, and familiarity with structured credit.

Qualifications

• 8+ years in financial markets as a desk quant or risk manager.
• Strong bond math skills including duration, convexity, spread calculations.
• Familiarity with structured credit and CDR/CPR shocks.
• Experience with Aladdin and Bloomberg is essential.

Responsibilities

• Support risk management by conducting quantitative and data analysis on portfolios, new trades, and instruments across asset classes.
• Calculate risk capital for the business.
• Provide quantitative insights in portfolio analysis, shocks, scenarios, tail risks, concentration, and leverage.
• Prepare portfolio analyses and charts for presentations, ad-hoc and weekly routines.
• Collaborate with operations and technology to improve analytics setup of Aladdin portfolio management system.

Skills

Quantitative analysis

Risk management

Fixed income

Credit products

Bloomberg

Aladdin

Excel macros

Programming

Education

PhD

Tools

Bloomberg

Aladdin

Excel

Job description

Reporting line within Risk Management

Supporting the risk management team by conducting quantitative and data analysis on the existing portfolio, new trades, and instruments across all asset classes, cash and derivatives, specifically in fixed income and credit (single-name and structured); tasks will also include risk management’s support of front office

Calculating risk capital for the business

Provide quantitative insights in portfolio analysis, shock and scenario analysis, tail risks, concentration, and leverage

Preparing portfolio analysis and charts for presentations, on both ad-hoc and weekly routine basis; tasks include occasional mundane “number crunching”

Becoming familiar with annuity insurance structures and analytics related to asset-liability management

Interact with operations and technology on improving analytical setup of Aladdin portfolio management system

8+ years’ experience in financial markets as a desk quant, PhD, or as risk manager in a quantitative trading environment

Closely familiar with fixed income, credit (corporate and structured), and foreign exchange products

Strong bond math skills essential (e.g. duration, convexity, various spread calculations, options)

High familiarity with structured credit items such as tranches, diversity score, credit subordination, prepayments, CDR/CPR shocks

Writing advanced Excel macros and coding

Additional risk management experience a plus, especially analysis of shocks/scenarios, tail risks, illiquidity, concentration, and leverage

Willing to communicate and do ad-hoc work during parts of New York hours

Good communication skills verbally and in writing; most colleagues are based in the US and London

Proactive attitude and eagerness to assume tasks within team

Familiarity with Bloomberg essential and with Aladdin portfolio management system a plus