Quantitative Finance Recruiter at Black Turtle India Pvt. Ltd.
Views:13930 Applications:268 Rec. Actions:Recruiter Actions:23
AVP - Retail Risk Modelling - KPO (5-9 yrs)
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 answering technical or background questions on the models and requirements.
- Work closely with the global AIRB 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):
- AIRB - 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
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.