Market Risk Quantitative Analyst

Function: Analytics

 
With a startup spirit and 80,000+ curious and courageous minds, we have the expertise to go deep with the world’s biggest brands—and we have fun doing it. Now, we’re calling all you rule-breakers and risk-takers who see the world differently, and are bold enough to reinvent it. Come, transform with us.

Inviting applications for the role of Market Risk Quantitative Analyst

Genpact is looking for a Market Risk Quantitative Analyst, to join Analytics team. The Market Risk Quant will be responsible for methodology development, analysis and prototyping, as well as creating the theoretical framework for risk calculation.

• Responsible for FRTB methodology analysis and FRTB model implementation.
• Maintenance of current risk applications and models
• Come up with clear and solid designs to implement proposed modelling changes, to deliver in dynamic, agile, and often ambiguous contexts
• Deliver prototypes using or extending as appropriate our Python-based modelling platform
• Develop the models in C++/Python/R and assist IT to integrate them into the production system
• Participate to the design and the development of a robust, scalable, and extendible Market Risk solutions and their integration into the Risk engines framework. Support Risk, FO and IT users of our analytics

• Previous experience as a Market Risk Quant
• Experience in building prototypes within Python/Matlab/R
• Excellent knowledge of Market Risk Methodology
• Experience in building and DRC, ES and NMRF models
• Experience in developing Monte Carlo simulation
• Familiarity with market risk models (ideally with VaR) or pricing models.
• A practical, working understanding of FRTB
• Quantitative & statistical skills, knowledge of financial concepts & products
• Organized, with great attention to detail; strategic thinker, capable to deliver on time Ideally Python or R or C++ programming skills.
• Ideally should include scientific stack (numpy pandas, scipy etc…), multi-processing, caching, and handling complexity
• Ideally should have practical understanding / experience of LIBOR transition

• Attractive salary
• Stable job offer – employment contract
• Various trainings (initiating, soft skills)
• Possibility of development
• Benefits (Insurance, Luxmed, Multisport, Lunchpass Card, additional vacation days, biking policy)