Assistant Vice President - Quantitative Risk Modelling - Investment Bank

AVP - Quantitative Risk Modelling

Hiring for one of the leading Investment Bank in Mumbai for an AVP role in Quantitative Risk - Financial Modelling.

We offer :

A challenging role in the Risk area located in Mumbai as an Investment Banking Risk Quant for the CA CCR BT team of the Investment Banking with focus on :

- Development and prototyping of methodologies for back-testing of Monte Carlo Credit Exposure Models using R/Mathematica/C++

- Counter-party Credit exposure calculations according to Basel 3/CRD4

- Responsibility for the development of risk methodologies relevant for capital calculations, specific to derivatives for FINMA, PRA and SEC

- Collaboration with IT to deliver strategic implementation of complex risk and simulation systems.

- Collaboration with internal stakeholders in the Investment Bank (CVA desk, CRM, reporting) to develop methodologies for estimating key deliverable like stress window etc.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

You offer :

- Analytical/Numerical degree (Physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred

- Experience of at least one of the following topics - Numerical simulations, Monte Carlo, derivative pricing /modelling

- Working knowledge of at least one of R, MATLAB, Python or C++ is a must

- VBA, SQL, and Office package is highly recommended

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented and strong team players.

Anuja Menon
Recruitment Consultant