Quant Model Risk Analyst
On-site · Mumbai, Maharashtra, India
Job Summary
Quant Model Risk Analyst responsible for assessing and mitigating model risk across pricing models, engines, and reserve methodologies; provide guidance on model usage to business units; develop and implement alternative model benchmarks and performance metrics; liaise with model developers and risk/valuation control groups; evaluate model performance regularly; requires graduate-level quantitative training and hands-on coding (C/C++ or Python) with 2+ years in a front-office or model risk role; exposure to Rates derivatives and valuation/risk measurement contexts in a Mumbai, India setting.
Required Qualifications
- 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
- 2+ years in a FO or model risk quantitative role.
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