Assistant Manager at Mancer Consulting Services
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Leader - Model Development - Credit Risk/Rating (8-12 yrs)
Roles & Responsibilities
- Limit monitoring of credit exposure on a daily basis
- Financial disclosure reporting of derivative (FASB) and off balance sheet exposures
- Level III classification and disclosure reporting
- Team management of a large team involved in risk management services to the client
- Account management and relationship management
- Business development of risk management services across risk horizontal and global clients
Requirements :
- Strong understanding of Financial Markets with increased focus on Credit, Market & Interest Rate Risk framework of both Balance Sheet Products and Derivatives. Exposure to treasury products such as Interest rate swaps, currency swaps, cross currency swaps, credit default swaps, swaptions, caps & floors.
- Strong understanding of Market Risk concepts like VAR, Stress testing, Economic capital Estimation, Volatility Analysis, Scenario Analysis.
- Strong understanding of Credit risk concepts like Credit Value adjustment, Credit Exposure and Counterparty Credit Risk
- Quantitative skills in Model Development and Validation. Develop and test models used to estimate VaR (Parametric & Non Parametric), Stress Tests, Validate Market Valuation and Interest Rate risk models, EaR, Market Data Models, Yield Curve Construction, Calibration of existing models.
- Strong understanding of Credit Ratings & Ratings Migration
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