HR Recruiter at Black Turtle
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Associate Director - Credit Risk Methodology - BFS (5-9 yrs)
Would you like to become an expert in counterparty risk management? Are you an innovative thinker who likes to challenge the status quo?
We're looking for someone like that to :
- Develop and maintain the counterparty credit risk exposure models
- Document and assess the performance of the unstressed and stressed exposure models used for risk management and regulatory requirements
- Stay up to date on regulatory changes and trends: European and US regulators
- Check that material issues are escalated to the relevant control functions and that reputation concerns are escalated to senior management
You'll be working in the Exposure Risk Measurement team within the Risk Methodology department in Mumbai, India.
- We develop and maintain the credit exposure models (Derivative and SFT) of the Investment Banking division within Group. The quantitative methods we use are closely related to sophisticated derivative pricing models.
- As owners of the Risk exposure models, we also need to ensure the calculations meet the required regulatory standards and internal governance standards.
- A university degree (Msc or PhD) in finance, mathematics/statistics, science or in a numerical discipline
- Prior working experience (3+years) in the financial services industry (preferably in a quant role), including exposure to derivative pricing models and Monte Carlo simulations (preferably across a range of asset classes)
- Strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
- Working experience with high-level programming language (C#, Python, C++) is a must and knowledge of statistical modeling software (e.g. Rstudio, SAS, SQL) is desirable
- Pro-active in taking new initiatives and carrying them through completion
- Able to explain technical topics clearly and intuitively to a non-technical audience or Senior stakeholders
- Fluent in English, both in oral and written form