AVP - Credit Risk Model Performance Monitoring - Investment Bank

We have an opening with one of the leading global investment bank for the role of AVP - Credit Risk Model Performance Monitoring.

Job Location: Mumbai

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

Roles and responsibilities

- Will be responsible for the model performance monitoring for all credit risk models owned by Credit Analytics team.

- 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

Key skills :

Should have experience/Knowledge :

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)

- 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.

- Excellent analytical skills, especially with regards to financial analysis.

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