AVP - Credit Analytics - Credit Risk Management - Investment Bank

Looking for AVP/VP-Credit Analytics - Credit Risk Management - Investment Bank, Mumbai

1. Strong experience/knowledge in at least some of the following areas (in quant space) :

- Counterparty Credit Risk

- Pricing and valuation - Derivatives (across one or more asset classes)

- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)

- Credit Portfolio Modelling - Default and Migration Risk

- Risk Scenarios and Stress Testing

- Regulatory framework and rules (e.g. BASEL, CCAR etc.)

- AIRB - LGD, PD and CCF Modelling

- Back-Testing and Monte-Carlo Methodologies

2. Strong Quant skills and aptitude - We expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas

3. Good technical skills - exposure/hands on to at least one of the below programming language/database:

- Programming and Algorithms: R, Python, Java, C++, Matlab, VBA etc.

- Database and SQL: MS Access, MySQL, Oracle etc.

Education: BE/B.Tech or B.Sc/M.Sc in Statistics

Amol Yadav