Assistant Vice President - Counterparty Credit Risk Modeling

QAT team in India works closely with the global Quant teams to provide analysis and support as well as assisting in the development of models.

This role offers an opportunity to work on quantitative counterparty credit risk models, which are not just critical for internal risk measurement and monitoring but also have a significant impact on counterparty credit risk capital. Team members will have an outstanding opportunity to acquire both financial and technical skills through a combination of on-the-job learning, business-focused projects, and in-house training.

You Offer:

- A graduate degree in a quantitative field such as Mathematics, Computer Science, Engineering or Physics, or equivalent level commercial experience

- Good level of numeracy and an ability to understand and implement mathematical concepts

- Proficient in analytical and problem-solving skills

- A deep understanding of financial products (securities, derivatives) and their valuation as well as risk measurement (e.g. Value at Risk)

- Outstanding programming experience in e.g. R, C#, C++, Python and experience in developing risk measurement tools

- Experience in the counterparty credit risk portfolio modeling concepts like collateral haircuts, margin period of risk and exposure at default calculations.

- A demonstrated ability to work both independently and as part of a team.

- Dedication to fostering an inclusive culture and value diverse perspectives.