Global Markets Quantitative Research - Flow Rates Group

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Mid-level Quantitative Researcher - Mumbai, Global Markets

Develop advanced pricing, risk & analytics tools for Flow Rates products across global markets.

Job Title:

Global Markets Quantitative Research - Flow Rates Group

Department :

Front Office Support

About Business line/Function:

Global Market Quantitative Research (GMQR) Team is responsible for most aspects of quantitative research within the Global Market universe, covering Interest Rates, FX, Credit, and Equity. There are teams in London, New York and Asia supporting trading activities of the flow and structured desks. They are responsible for the development of pricing, risk, margin, and profitability models and their implementation in the global analytics library.

Position Purpose:

Direct Responsibilities:

• Develops and adapts existing methodologies, such as the IRFX curve methodologies construction
• Works under own initiative, beginning to support the most junior staff in the team with tasks.
• Designs and implements new pricing, risk management tools and methodologies, and improves the existing tools, processes and methodologies.
• Assists more senior members of the GMQR team with maintaining and enhancing pricing analytics, improving interfaces, optimising code and following the team’s best practice. For example :
• Develops, tests, delivers and supports tools based on analytics libraries
• Develops and implements analytic tools to calculate the various pricing analytics for Swaps, Govies, Xccy Swaps, FxSwaps.
• Supports the team on pricing all related requests
• Develops risks management tools
• Develops tools for the GM DM/EM/G10 Fxswap Trading & Sales teams
• Contributes to the development of the team analytics library.
• Assists the Bank in adapting to new regulations and capital charges by providing ideas or tools to estimate their impacts.
• Maintains open communication with the team and direct line management to fulfill firm notification requirements and pass on client concerns.

Technical & Behavioral Competencies

BTech or MTech from a reputed institution (IITs, BITS Pilani, etc...), with a preference for degrees in Mathematics, Statistics, Physics or Engineering, or a PhD in another Science or engineering field, with a demonstrable interest in financial modelling

Knowledge of quantitative finance and options (knowledge of stochastic calculus and structured/exotic derivatives is advantageous but not required).

Displays dedication & prioritises problems by considering the impact on the business; identifies quick-wins.

Excellent business relationship management and development skills.

Effective communicator who can deliver complex and clear information or messages, both oral or written.

Experience in using financial information systems - e.g. Bloomberg and in-house risk/pricing tools.

Strong programming skills (C++, Python, Java, R or other equivalent).

Skills Referential  ( Required knowledge, skills and abilities)

Technical Skills:

• Business knowledge on Flow Rates Products
• Option pricing
• C++
• Python

Behavioral Skills:

• Attention to detail, rigor
• Creative and Problem Solving mindset
• Critical Thinking
• Skill 4
• Communication skills

Education Level:

BTech/MTech

Location:

Mumbai, Maharashtra

About BNP Paribas Group:

BNP Paribas is the European Union’s leading bank and key player in international banking. It operates in 65 countries and has nearly 185,000 employees, including more than 145,000 in Europe. The Group has key positions in its three main fields of activity: Commercial, Personal Banking & Services for the Group’s commercial & personal banking and several specialized businesses including BNP Paribas Personal Finance and Arval; Investment & Protection Services for savings, investment, and protection solutions; and Corporate & Institutional Banking, focused on corporate and institutional clients. Based on its strong diversified and integrated model, the Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporates and institutional clients) to realize their projects through solutions spanning financing, investment, savings and protection insurance. In Europe, BNP Paribas has four domestic markets: Belgium, France, Italy, and Luxembourg. The Group is rolling out its integrated commercial & personal banking model across several Mediterranean countries, Turkey, and Eastern Europe. As a key player in international banking, the Group has leading platforms and business lines in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific. BNP Paribas has implemented a Corporate Social Responsibility approach in all its activities, enabling it to contribute to the construction of a sustainable future, while ensuring the Group's performance and stability.

About BNP Paribas India Solutions:

Established in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP Paribas SA, European Union’s leading bank with an international reach. With delivery centers located in Bengaluru, Chennai and Mumbai, we are a 24x7 global delivery center. India Solutions services three business lines: Corporate and Institutional Banking, Investment Solutions and Retail Banking for BNP Paribas across the Group. Driving innovation and growth, we are harnessing the potential of over 10000 employees, to provide support and develop best-in-class solutions.

Commitment to Diversity and Inclusion

At BNP Paribas, we passionately embrace diversity and are committed to fostering an inclusive workplace where all employees are valued, respected and can bring their authentic selves to work. We prohibit Discrimination and Harassment of any kind and our policies promote equal employment opportunity for all employees and applicants, irrespective of, but not limited to their gender, gender identity, sex, sexual orientation, ethnicity, race, colour, national origin, age, religion, social status, mental or physical disabilities, veteran status etc. As a global Bank, we truly believe that inclusion and diversity of our teams is key to our success in serving our clients and the communities we operate in. As a global Bank, we truly believe that inclusion and diversity of our teams is key to our success in serving our clients and the communities we operate in.