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09/03 Amol Yadav
Senior Consultant at Black Turtle India Pvt. Ltd.

Views:2390 Applications:45 Rec. Actions:Recruiter Actions:16

Assistant Vice President - CRM AIRB Modelling - Investment Bank (5-8 yrs)

Mumbai Job Code: 549296

We are looking for AVP-CRM AIRB Modelling for leading Investment Bank.

In this particular role we offer :

- Opportunity to participate in the development of state of the art stress testing models for AIRB Parameters (PD, LGD, EADs)

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the global AIRB team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

- Roles in Credit Analytics are technical and hence even for a managerial positions it will require candidates to be highly detail oriented and undertake hands-on tasks.

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous.

Strong experience/knowledge in at least some of the following areas (in quant space):

- AIRB - LGD, PD and CCF Modelling

- Regulatory framework and rules (e.g. BASEL, CCAR etc.)

- Credit Portfolio Modelling - Default and Migration Risk

- Counterparty Credit Risk

- Pricing and valuation - Derivatives (across one or more asset classes)

- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)

- Risk Scenarios and Stress Testing

- Back-Testing and Monte-Carlo Methodologies

Requirements:

- Strong Quant skills and aptitude - We expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas

- Good technical skills - exposure to one or more of the below programming language/database:

Programming and Algorithms: R, VBA / advanced Excel, Matlab etc.

Database and SQL: MS Access, MySQL, Oracle etc.

- Advanced degree in finance, mathematics, econometrics, engineering or other quantitative subject. Candidates from other streams who are able to demonstrate good conceptual understanding and are willing to understand the stress testing framework in depth are welcome to apply as well

- Good Communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation

- Highly Detail Oriented. This role requires hand-on approach along with management oversight

- Team management experience would be advantageous

Please help with your updated resume and correct details if you would like to go for this opportunity;

Candidate Name:
Current Company:
Total Work Experience:
Relevant years of Exp:
Current Compensation:
Expected Compensation:
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Preferred Location:
Reason for Change:

Amol Yadav
Black Turtle

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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