01Overview
This role involves developing and managing advanced quantitative models for securitized products within a dynamic banking and financial services environment. You will contribute to critical areas such as risk management, pricing, and portfolio optimization. The position offers an exciting opportunity to work on complex financial instruments and contribute to strategic initiatives.
Our client is a leading global financial services institution with a strong presence in investment banking. They are known for their innovative approach to financial markets and commitment to delivering exceptional value to clients worldwide. The firm fosters a collaborative and dynamic work environment, encouraging professional growth and continuous learning.
Responsibilities
Develop and implement advanced quantitative models for securitized products, including MBS and other structured finance instrumentsLead and manage the development of pricing and risk models across various asset classesOversee model validation findings and drive redevelopment initiatives to enhance model accuracy and efficiencyDesign and implement securitization pipeline models, optimizing structuring and valuation through advanced quantitative techniquesAutomate benchmarking and back-testing reports using Python and Tableau, presenting findings to senior committeesPerform stress testing, scenario analysis, and establish new thresholds and KRIs for mortgage portfoliosCollaborate with cross-functional teams to integrate models into broader risk management and portfolio analysis frameworksContribute to the development of asset allocation optimizers for balance sheet managementEnsure models comply with regulatory standards and internal governance frameworksRequirements
312 years of experience in quantitative analysis within banking or financial services, with a focus on securitized productsStrong expertise in developing and managing quantitative models for credit risk, market risk, and MBSProficiency in programming languages such as Python (NumPy, Scikit-Learn) and C++Experience with financial modeling platforms like Polypaths, Black Knight, or Murex is highly desirableDemonstrated ability to lead or contribute to model development projects from conception to implementationSolid understanding of regulatory requirements (e.g., CECL, SR 11-7) and model validation processesMaster's degree in Quantitative Finance, Financial Engineering, Mathematics, or a related quantitative fieldExcellent analytical, problem-solving, and communication skillsAbility to work effectively in a hybrid work environment based in mumbai .
