Vice President, Data Management & Quantitative Analysis- Quant Developer
MaharashtraFull-timeHybridLead levelPosted 2 months ago
Leadership data science role at BNY in Maharashtra. Hybrid.
About the role
We’re seeking a future team member for the role of Vice President, Data Management & Quantitative Analysis- Quant Developer to join our Margin Methodology Development and Backtesting team. This role is located in Pune and will be working in a hybrid capacity. (Currently 4 days a week in the office). In this role, you’ll make an impact in the following ways:
What you'll do
- Develop, maintain, and support Python/C++ quantitative libraries and analytical tools for margin methodology development , backtesting
- Design and implement robust backtesting frameworks for margin models using historical simulation , Historical VaR , and stress-based techniques
- Support the development, enhancement, and performance assessment of Rules-Based Dynamic Margin and Stress-Based Dynamic Margin methodologies
- Perform quantitative analysis on margin model outcomes, including coverage testing , procyclicality assessment , sensitivity analysis
- Analyze historical market data and stress periods to assess margin model behavior under both normal and stressed market environments relevant to financing and…
What you need
- Python
- Market risk
- Statistics
- Performance testing
- C++
- Physics
Good to have
- Capital markets