This role will focus on the SFT side of the business from counterparty risk point of view;
- Provides analysis and consultation on counterparty credit risk quantification and participate in global efforts on modelling counterparty credit risk exposure.
- Work closely with model Global development teams on implementation of models and systems.
- Work on various regulatory requirements including Back testing, Model reviews
- Calibration, User Acceptance Testing, Documentation of models.
- Work on ad hoc risk models as per business requirements.
- 5+ years of experience working within risk domain, preferably counterparty risk
- Knowledge of Bonds/Repos, HCs, Stochastic Calculus, Counterparty exposure concepts, Regulatory regime
- Knowledge of fixed income including pricing various traded bonds ranging from vanilla to exotic
- Proficiency in Excel-VBA/Python
- Strong verbal and written communication skills
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