AVP - Quant Model Validation/Development - Counterparty - Investment Bank

Industry - Banking

Skills - Counterparty, Risk management, Quant, Quantitative, Monte Carlo, Stochastic Calculus, Equity, Derivative, Fixed Income

Job Type - Permanent

Job Description - An opportunity to be in a challenging role with an Investment Bank in their recently set up Model Monitoring Team

Client Details

A leading Investment Bank, our client provides products and services to institutional and private clients. Now, with the continued expansion plans, they are keen to recruit an Assistant Vice president with a strong Quant background and good understanding of Risk Mitigation Practices, good programming skills and experience with Basel II/III initiatives.

Description

- A challenging role in the recently set up Model Performance Monitoring team with an opportunity to be part of a growing area right from the start. 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 & 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

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports. Preparing, processing and querying large amount of financial data

- Quantitative analyst with excellent technical skills

Profile

- Bachelors/Masters from a Tier 1 Educational Institute with specialization in Analytic/Numerical degree (physics/Mathematics/Engineering).

- Qualified CFA/FRM/CQF will be preferred.

- 6 - 10 years of experience with knowledge in at least one of the following:

- 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

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

Job Offer

An excellent opportunity to be part of a challenging role in a recently set up Model Monitoring Team with a leading Investment Bank

Contact - Apurva Gopinath -

The Apply Button will redirect you to website. Please apply there as well.