AVP - Model Validation/Derivatives Pricing/Stochastic Modelling/Statistical Modelling/Quantative Modelling - BFS

- Opportunity to participate in the development of state of the art stress testing models for AIRB Parameters (PD, LGD, EADs)

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and In this particular role we offer

- Work closely with the global team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

- Roles in Credit Analytics are technical and hence even for a managerial positions it will require candidates to be highly detail oriented and undertake hands-on tasks

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous

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

- LGD, PD and CCF Modelling

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

- Credit Portfolio Modelling - Default and Migration Risk

- Counterparty Credit Risk

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

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

- Risk Scenarios and Stress Testing

- Back-Testing and Monte-Carlo Methodologies

Also please share you resume if you have below mentioned skills.

- Knowledge of Financial Markets + Derivatives - Basic Pricing & Greeks - "Knoweldge & understanding of markets & products like bonds, loans, assets, liabilities. Derivatives ( Pricing + greeks + basic modelling)."

- Programming : R / SAS / Python / C++, VBA, Data analytics, SQL, Access, etc.

- Understanding of CCR risk concepts - VaR, Exposure / Collateral Analytics, Calculators / WWR etc. Counterparty Credit Risk - Models & Methodologies.

- PD, LGD, EAD Modelling. Credit risk modelling experience - Retail + Wholesale.

- Risk Management - Regulations. Basel, FED, FINMA, PRA, CRR etc.

- Model Validation - Credit Risk Models. CCR / Client Credit Risk/Risk / Pricing Models

- Advanced Maths Linear algebra, factor modelling, etc.

- Market Risk - Models and Methodologies. Understanding of Mkt Risk concepts - VaR, Pricing & Risk models,

- Derivatives Pricing - Stochastic Modelling. "Advanced Derivs Modelling. Stochastic calculus. Black Scholes / Hull White / SABR / HJM.

- Expertise in any particular asset class: Eq / FX / IR / Comm / Credit.