Job Description:  1. Work alongside the Credit Risk VaR Methodology team to improve the Insight calculation of EPE and PE.  2. Collaborate with RPCM and IT and Feeds teams in implementing methodology changes and data upgrades.  3. Maintain and enhance the control mechanisms for checking sensitivities/routing trades appropriately, including ad hoc investigation of risks required for non-vanilla trade types.  4. Assist with analysis and closure of model validation tasks and caveats for models for which the team is responsible (RepoVaR, collateralized EPE, DLE, CCP etc)  5. Other bespoke requests regarding exposure analysis for several audit or regulatory reports.  Experience / Skills  1 Good MS Access skills   2 Good VBA & SQL knowledge   3 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. Market Risk (or Counterparty) historic VaR calculations  4 MBA/Analytical/Numerical degree  5 Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.  6 Being responsible for deliverables.  7 Good Communication skills.   8 Highly Detail Oriented.   Will need to take ownership of any task and see it through. Be a thinker and take proactive steps to improve process continually in order to take it to the next level. Should be comfortable working under strict timelines

Mumbai

VaR Methodology Analyst 

VaR Methodology Analyst  ,Job Description for VaR Methodology Analyst  in Antal International Network in  Mumbai for (0-2) years of experience. Apply Now!

Job Description for VaR Methodology Analyst  in Antal International Network in  Mumbai for (0-2) years of experience. Apply Now!