Assistant Vice President - Quantitative Analysis/Counterparty Credit Risk - Global Bank

Description:

Location: Mumbai

Open Positions: 4

About the Role:

Step into the world of quantitative excellence with a leading global bank!

Were looking for an AVP Counterparty Credit Risk (CCR) Quantitative Analyst to join our Risk Analytics team.

If you thrive on solving complex risk challenges, enjoy working with IMM Models, Monte Carlo Simulation, CVA, and SA-CCR, and love getting hands-on with Python or C++, this is where your expertise meets opportunity.

Key Responsibilities:

- Develop, validate, and enhance CCR models (IMM / SA-CCR / CVA / PFE / EPE / EEPE).

- Perform quantitative analysis, back-testing, and benchmarking aligned with Basel, SR 11/7, SS1/23, and SS12/13 frameworks.

- Build and optimize exposure and collateral models using Monte Carlo simulations.

- Collaborate closely with Model Owners, Audit, and Validation teams to ensure regulatory compliance.

- Support stress testing, scenario modeling, and risk factor calibration across IR, EQ, Credit, and Commodities asset classes.

Key Skills Required:

- Strong understanding of CCR concepts: IMM, SA-CCR, CVA, Basel, Monte Carlo, Derivative Pricing, Greeks, Risk Factors.

- Proven experience in model development or validation (model development preferred).

- Proficiency in Python or C++ (hands-on coding is a must).

- Exposure to statistical modeling, numerical methods, and regulatory frameworks.

- Familiarity with stress testing, exposure modeling, and back-testing.

Preferred Qualifications:

Masters / Bachelors degree in Quantitative Finance, Mathematics, Statistics, Engineering, or a related discipline.