Associate Vice President - CRM Model Performance Monitoring

CRM Model Performance Monitoring

An exciting opportunity to join the Credit Analytics CCR Methodology Team within CRM. Counterparty Credit Analytics Methodology (CCR Methodology) team in Mumbai is an integral part of the global CRM- Credit Analytics team. CCR Methodology owns and is responsible for further development of methodologies for several key areas in counterparty credit risk measurement, back-testing of IMM models, Wrong Way Risk calculations and Collateral treatment.

We Offer

This is a Quant role in CCR Methodology, Model Performance Monitoring division with focus on:

- A challenging role in the newly established Model Performance Monitoring team located in Mumbai as an Investment Banking Risk with the possibility to be part of a growing area right from the beginning. The team will be responsible for the model performance monitoring for all credit risk models owned by Credit Analytics

- Development, prototyping and back-testing of Monte Carlo Credit Exposure Models including collateral modelling, AIRB PD, LGD, Rating Models, CCF models.

- Responsible for the generation and presentation of model performance reports for senior management, regulators as well as internal and external audit

- Possibility to support the IT strategic implementation of complex risk and simulation systems

- Close interaction with various stakeholders including model owners and credit officers in order to generate value added reports on the model performance of credit risk models

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports. Preparing, processing and querying large amount of financial data

We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.

You Offer

Interested candidates must be able to demonstrate the following qualifications and competencies:

- Should have experience/Knowledge with at least one of the following

OTC Derivatives, Secured Financing Transactions

Pricing models

Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

Knowledge of AIRB parameters modeling ( PD, LGD, EAD, Rating Models)

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

- Very good programming skills, eg. R, MATLAB, Python or C++, 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. A winning personality, conceptual and communication skills.

- Highly Detail Oriented and strong team players. Excellent analytical skills, especially with regards to financial analysis.

- Flexibility and the ability to work under pressure.