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AVP - Credit Risk Quantitative Analyst - Investment Bank (5-10 yrs)
A leading Global Investment Bank is seeking for a AVP -Credit Risk Quantitative Analyst
Job Location: Mumbai
Key Competencies:
- Advanced / Master's degree in finance, mathematics, econometric, engineering or other quantitative subject.
- Candidates from other streams who are able to demonstrate solid quantitative understanding to be able to understand the stress testing framework in depth are welcome to apply as well.
- 5+ years- experience in quantitative risk management in financial services.
- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department.
- Some experience in bank regulatory capital, Basel II/III would be advantageous
- Familiarity with programming (preferably in R)
Responsibilities:
- Opportunity to participate in the development of state of the art stress testing models for wholesale credit risk .
- Involvement in the delivery of an ambitious CCAR program.
- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle ( includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle).
- Liaising internally with risk managers and Front Office clients, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.
- Work closely with the IB Parameters team on methodology aspects.
- Work with Risk IT in the implementation of new methodologies.
- Produce analyses required for regulatory reporting and analyses requested by regulators.
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