The Quantitative Analyst - Model Risk (Valuation Models) will play a key role in the e-Trading team within the Fixed Income business. The role involves development, documentation, testing, and validation of quantitative models used in trading, risk analysis, and pricing frameworks.
The candidate will work closely with traders, quantitative researchers, risk teams, and system developers to support algorithmic trading strategies, trading analytics, and model implementation across fixed income and equity markets.
Job Location - Bangalore (KA), Noida (UP)
Key Responsibilities: You will be accountable and responsible for taking appropriate action with respect to model risk and valuation models, including:
- Contribute to remediation planning to close gaps versus PRA SS1/23 and internal Model Risk Policy.
- Identify model assumptions, limitations and usage constraints, and quantify impacts and propose mitigations/remediations.
- Maintain complete, regulator-ready documentation: purpose, methodology, mathematical specification, input data, implementation, usage, assumptions and limitations, safe operating boundary.
- Conduct work in line with internal policies and procedures, and applicable regulatory requirements (e.g., PRA SS1/23; awareness of SR 11-7 concepts).
- Analyze pricing model outputs across asset classes (Rates, Equities, XVA) including P&L attribution, sensitivities, and stress behavior.
- Design, implement, and execute test plans; interpret results and present clear, concise findings with evidence packs for model validation.
- Develop reproducible scripts/notebooks to automate testing and analysis.
- Collaborate effectively with independent model validators to address findings, and close issues on time.
- Communicate complex quantitative concepts to diverse audiences in a clear, business-oriented manner.
- Duties may evolve; the role holder will perform other tasks consistent with the scope and purpose of the role as requested by their manager.
Work Experience - Essential
- Experience working in a financial institution within quantitative analytics, model risk, valuation control, or front-office quant teams.
- Hands-on exposure to derivatives pricing models.
Preferred
- Experience producing regulator-grade model documentation and evidence suitable for independent model validation.
- Proven ability to deliver model testing (benchmarking, sensitivity analysis, calibration testing, convergence testing), interpret results, and drive remediation.
Skills and Experience - Functional / Technical Competencies
- Proven experience with model development, testing, or validation to meet regulatory requirements (SS1/23-aligned).
- Expertise in valuation techniques for derivatives across one or more asset classes (Rates, FX, Credit, Equities, Commodities, XVA).
- Ability to generate clear, concise, and comprehensive documentation.
Education / Qualifications
Degre in a quantitative discipline (Mathematics, Statistics, Physics, Engineering, Computer Science) or equivalent experience preferred.
