Assistant Vice President - Quant - Counter Party Credit Risk

Responsibilities:

- Building Models 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

- For that, you would require : (Non-Negotiable skills)

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

- Preferred language is Python, C/C++, etc.

- Building Models

- CCR: Derivatives, IMM, Counterparty Credit Risk Models

- WCR: IRB with PRA models, IFRS 9, Stress Testing

Key Aspects Skills:

- Experience in Model Development. Looking for Quant candidates who have built models.

- Not looking for Model users, but looking for Model Developers and candidates who can also validate the models.

- Understanding of Statistics

- Should have developed models using Python

- Model Implementation experience in C++

- Experience: Min 3 - 8 years of Relevant Experience

- Looking for candidates with a range of experience who can lead discussions with onshore and regulators

- Should not wait for direction from onshore, should be able to drive the process and also teach others.

- Hands-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

Qualification: M.Tch, B.Tech, MBA, BBA (Tier1 preferred)