Assistant Vice President - CCR Models - Wholesale Credit

Role:

- Model Development experience for CCR Models (IMM , MMA, EPE, PFE, EEPE, SA CCR)

- You must have knowledge of the following in CCR - IMM Models, SA-CCR, CVA, BASEL Framework, Monte Carlo Simulation, Exposure / Collateral Modelling, PFE (Potential Future exposure), EPE , EPPE, Derivatives Pricing, Greeks, Risk Factor Modelling (Interest Rates, Equities, Credit, Commodities etc.), Back-testing, Numerical Analysis, SR 11/7, SS1/23. SS12/13 etc

- Hands on coding experience (as a full-stack developer / agile developer etc.

- Preferable language is Python, C/C++ etc)

- Hand on experience in Model Development and/or Model Validation (core development experience preferred)

- Experience in Stress Testing/Scenarios Modelling), Statistical Modelling (preferably for Wholesale credit book), Regulators and regulatory frameworks, Stakeholders - Model Owners, Audit, Validation