AVP - Exposure & Collateral Analytics - Counterparty Credit Risk - Investment Banking

AVP- Exposure & Collateral Analytics-Investment Banking- Mumbai (5-9 yrs)

- We welcome you to apply for AVP position with an Investment Banking for Exposure & Collateral Analytics role in Mumbai location.

- We are looking for Strong analytical skills ( Monte Carlo tool exposure, Computation of Risk Metrics, Verification of Counterparty credit risk) in the candidate

Requirement details :

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

Skills needed : Experience of at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling, Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- Working knowledge of at least one of R, MATLAB, Python, Mathematica or C++ is a must

- VBA, SQL, and Office package is highly recommended

- People ready to relocate Mumbai must only apply

THOSE WHO HAVE ABOVE SKILLS MUST ONLY APPLY

Departmental Overview :

Counterparty Credit Risk (CCR) Exposure and Collateral (ECA) Methodology team in Mumbai is an integral part of the global CRM Credit Analytics team. CCR ECA Methodology owns and is responsible for further development of methodologies for counterparty credit risk exposure measurement based on Monte Carlo driven models. The primary role of the team is to measure and verify counterparty credit risk for the investment bank.

The objective of the role is to work closely with the colleagues in London, Zurich and NY to support changes/enhancements to the methodology frameworks and additionally support several tactical process and reports for regulators as well as credit officers.

Key Deliverable :

- A challenging role in counterparty credit risk modelling that includes:

- Modelling the stochastic behavior of various risk factors underlying derivative trades (e.g. FX, interest rates, equity, commodities)

- Programming of prototypes and production code (within an established C++ library)

- Addressing requests from various regulators, e.g. in the context of Basel 3

- Interaction with various internal stakeholders such as Credit Officers, Trade Analysis, IT

- Empirical analysis of financial data

- Collaboration with IT to deliver strategic implementation of complex risk and simulation systems

- Running and maintaining all processes for calibration of parameters and monitoring of Monte Carlo Risk Factor evolution Models used in exposure measurement globally.

- Perform analysis for failed trades in Monte Carlo Pricing Tool and suggest alternate solution to existing issue till final solution is implemented.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports

Additional Duties :

- Will need to take ownership of any task and see it through. Be a thinker and take proactive steps to improve process continually in order to take it to the next level. Should be comfortable working under strict time lines

Incase interested then please Apply with your updated resume with below details :

CTC :

Exp CTC :

Notice Period :

Current Location :

Ankita Mishra
Talent Advisor
Enigma Human Capital
Mobile : +919807673995