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Risk - Collateral Risk, Stress and Margining - Analyst

3.00 to 5.00 Years   Mumbai City   26 Jul, 2020
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaStatistics / Analytics
EmploymentTypeFull-time

Job Description

Product Coverage & Portfolio Analysis:

  • Analyst will primarily be exposed to risk management, involving valuation, stress-testing, modeling, liquidity and contingent market risk analysis for all asset classes and products, with a specific focus on derivatives, margin lending and securities financing (repo/reverse repo).
  • Product coverage includes:
    • Interest Rates: Interest Rate Swaps, Variable Notional/Amortizing Swaps, Inflation Swaps, Constant Maturity Swaps, Basis Swaps, American, European, and Bermudan Swaptions, Caps/Floors, Listed Derivatives (Futures & Options), Sovereign Bonds. (repo/reverse repo)
    • Foreign Exchange: FX Spot and Forwards, Vanilla Options, Single and Double Barrier Options, Digital Options, Double-No-Touch (DNT) Options, Listed Derivatives (Futures & Options), Variable Swaps, Volatility Swaps, Correlation Swaps.
    • Equities: Total Return Swaps (TRS), OTC Options, Listed Derivatives (Futures & Options), Variable Swaps, Volatility Swaps, Volatility Indices (e.g. VIX, VSTOXX). Custom Baskets and Proprietary Indices.
    • Credit: Single Name Credit Default Swaps (CDS), CDS Indices, CDS Index Options, Structured Finance Indices (e.g. CMBX), Corporate Bonds, Securitized Products and MBS (repo/reverse repo), Recovery Locks, Receivables Puts and TRS, Index CDO Tranches, Bespoke CDO Tranches.
    • Commodities: Listed Derivatives (Futures & Options), OTC Options, Variance Swaps, Volatility Swaps.
Technical Skills Required:
  • Hands-on experience with proven project execution/expertise in C/C++ programming, Python, including experience with numpy and/or pandas, Visual Basic, R.
  • Expertise in data structures, standard algorithms and OO design.
  • Strong software design skills and implementation skills.
  • Pricing Models Theory or stochastic calculus is an advantage.
Skills Required, Experience and Qualifications:
  • Excellent academic background with a Master s degree in a technical field, such as Math, Science, Engineering, Statistics or Quant Finance.
  • Attention to detail: thorough and persistent in delivering production quality analytics, ability to ask pertinent questions and escalate issues with a risk mindset.
  • Familiar with Standard Initial Margin Model, VaR, benchmarking exercises, stress testing, backtesting & various return measures in prior roles.
  • Very strong problem solving ability and quantitative aptitude preferred.
  • Strong communication & verbal skills is a must.
Ideal candidates for these positions would be a graduate/post-graduate from a premier college or institute. A computer science or mathematics background will be most suitable.,

Keyskills :
market riskvisual basictotal returnrisk analysisindex optionsstress testingequity indicesvariance swapsrisk management

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