1. Risk & Pricing :
- Use probabilities, stochastic processes & other math to model financial instruments & risks.
- Given the nature of the business typical risks and payoffs modelled present non-linearities in the rates, borrow and dividend space - but are typically of delta1 nature (linear in the spot).
- Models span across single name and portfolio level.
2. Data Analytics :
- Analyze data from markets, transactions and business processes, to provide insights into prices and risks, and aid decision making and optimizations.
- This is accomplished through a combination of Statistics and Machine Learning techniques.
3. Trading and Business Optimizations :
- Determining optimal strategies for interacting with the markets to finance or hedge the book.
- This entails modelling synergies between different areas, liquidity, balance sheet, as well as linear and non-linear constraints.
- This is delivered though platforms or algos that fully automate or augment business functions.
The primary responsibilities for this role will include :
- Lead forward developments on trading optimization platforms employed by the Equity Finance business to manage SBL, Synthetic and Cash trading activities.
- Put in place large and scalable architectures, linearize state-space to deal with massive data sets, vectorised coding and distributed computing.
- Liaise with multiple stake-holders to formulate a multi-dimensional objective function across metrics: PnL, Liquidity, RWA, ROA, etc.
- Model trading book dynamics, transaction costs potentially employing Statistical and Machine Learning techniques.
- Document and test new/existing models with traders and with other various control groups, such as the Model Review Group
- Implementation of models in C++ and Python proprietary libraries.
- Work closely with technology on integration of optimization models with front end applications
- Ongoing desk support.
BLACK TURTLE is a premier talent management consultancy firm. The Indian arm was established... in the year 2000. Since then the unit has grown manifold and is ranked among the Top 10 across various services and functions.
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
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