Associate Director - Exposure Risk Measurement - Investment Banking

- 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 the 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.

Prior Expertise: 

- A university degree (Msc or PhD) in finance, mathematics/statistics, science or in a numerical discipline

- Prior working experience (4+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