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Quantitative Risk Analyst - BFSI (2-5 yrs)
Job Description :
Quantitative Risk Analyst
Experience : 3- 5 yrs
Location : Mumbai
Principal Responsibilities :
The critical performance areas of the function include the following :
- This position will be responsible to provide quantitative support and analysis across the market and credit risk spaces which includes modeling financial risk and return as well as validation thereof.
- To independently validate and document various types of financial instruments, interest rate derivatives, FX, commodities, credit derivatives and exotic derivatives of Group Market Risk
- Responsible for development and maintenance of Value-at-Risk (VAR)/ Expected Tail Loss (ETL) and other risk measures to manage the bank's risk.
- To be actively involved in the development, validation and maintenance of credit rating methodologies and models (PD, LGD, EAD and related migrations) for the Wholesale Credit Portfolio to establish their fitness for purpose in the business and recommend improvements or remedial action.
Required Skills and experience :
The role requires an understanding of the development and calibration of quantitative methodologies used in the measurement of risk and modeling of financial instruments therefore a strong mathematical background in a financial context is preferred.
The following skills/competencies are required for the job :
- A degree in a quantitative discipline (e.g. financial mathematics, financial engineering).
- Strong knowledge of quantitative models (multi-curve framework, interest rate models and volatility, commodities and credit derivatives) and a strong knowledge of stochastic calculus, statistics and numerical resolution methods.
- Hands on experience with model implementations using Monte Carlo simulation, tree method and finite difference method.
- Total banking experience of 3-5 years with a minimum of 2 years specific experience as a quant with financial quantitative modelling and risk analytics.
- Knowledge of MatLab, NumeriX,Eviews, C++ etc. will be an added advantage
- A CQF/CFA/FRM qualification would be an advantage.
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