Senior Quantitative Analyst Market Risk

Shell — Bangalore RMZ-ECO WORLD

: What you will be doing • Investigates and manages large data sets, ensuring consistency and quality and build tools to enable the data to be easily accessed by analysts across Risk. • Contributes to the understanding of the design and utilization of methodologies to assess risk/reward of the portfolio, such as VaR back-testing, p&l stress testing, scenario analysis, market liquidity analysis, Potential Future Exposure (PFE), credit stress testing, cash margining analysis. • Supports the development of complex option valuation model to support ad hoc advanced analytics at a transaction level such as developing ad hoc Monte Carlo option valuation model to support deal valuation and risk management efforts. • Ensures process excellence, identifying inefficiencies, inaccuracies or bottlenecks in Risk processes. Ensuring that error-checking is a natural part of all processes so output is ‘Right First Time’. • The job holder manages the engagement with a large variety of (groups of) stakeholders on an operational level and, at times, contributes at a strategic level. • Works under direct supervision of Manager for moderately complex activities; given broad guidance on operational activities. Decides which approach they take; however, guidance could be provided by more senior colleagues. • Engages in innovative research tasks, support the implementation and development of quantitative solutions for risk management. • Identifies areas of improvement when applying the existing methodology and suggests changes. What you bring • At least 10 years of relevant working experience • Educational requirement in a Master's Degree or PhD • Experience with both mode development and model validation • Good to have research experience • Fluent in Python, and other coding language, bash shell scripting • Need to be good with Advance statistical analysis and advance mathematics such as partial differential equation, Monte Carlo simulation, • Exposed to Oracle and SQL database What we off

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