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15/10 Pushkaraj Ramesh Sawant
Quantitative Finance Recruiter at Black Turtle India Pvt. Ltd.

Views:12625 Applications:263 Rec. Actions:Recruiter Actions:23

AVP - Retail Risk Modelling - KPO (5-9 yrs)

Mumbai Job Code: 753892

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

Women-friendly workplace:

Maternity and Paternity Benefits

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