AVP - Quant - CCR Methodology - Model Performance Monitoring Division - Investment Bank

JOB DESCRIPTION

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.

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.gVaR, 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.