Credit Risk Analyst - Investment Bank

Company: A Leading Investment Bank.

Job Responsibility:

- The team in Mumbai will be part of the global Credit Risk Analytics IB team. The primary role of the team is to calibrate the models used to measure and verify counterparty credit risk for the investment bank.

Key Deliverables:

- Running and maintaining all processes for calibration of parameters of Monte Carlo Tool used in exposure measurement globally. These tools are in place to

a) Calculate various parameters like Volatility, Correlation etc. for particular asset classes,

b) Assess materiality of non-simulated risk factors.

- Perform analysis for failed trades in Monte Carlo Pricing Tool.

- Monitoring large and important long term maturity trades.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

Skills & Qualification:

- Should have experience with at least one of the following

a) OTC Derivatives (At least one asset class), Secured Financing Transactions

b) Pricing models

c) Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

d) Financial Mathematics

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented.

- Good MS Access, Python, Matlab/Mathematica skills

- Good VBA & SQL knowledge