Quantitative Finance Recruiter at Black Turtle India Pvt. Ltd.
Views:432564 Applications:3215 Rec. Actions:Recruiter Actions:409
Counterparty Credit Risk Quant - Investment Bank (2-4 yrs)
Opportunity in Leading Investment Bank Model Validation Quant
Responsibilities Include :
- Maintenance and enhancement of model validation and model risk framework
- Development and execution of risk monitoring methodologies (VaR, market and liquidity stress testing, credit exposure simulation)
- Monitoring of risk limits and other risk management techniques
- Development and communication of internal and external reporting following on these risk monitoring activities
- Respond to risk management requirements resulting from new or modified regulatory requirements (Dodd-Frank)
- Interface with other front/middle/back office groups to provide risk management input and insight
The Successful Applicant :
- Graduate degree in finance, mathematics, engineering, computer science or related quantitative field required.
- PhD, CFA, or FRM is considered a plus but not required
- 2-4 years experience in sell-side derivatives risk or closely risk-related
- Strong knowledge of derivatives and their key risks, particularly interest rate and FX products
- Familiarity with relevant risk concepts and related valuation concepts (VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches)
- Familiarity with risk management framework for various valuation adjustments' risk in derivatives (CVA, DVA, FVA, CTDVA, KVA and IM).
- Experience leading projects and managing groups.
Required Skills :
- Quantitative ability and knowledge necessary for detailed analysis of derivative risk
- Strong verbal and written communication skills
- Strong understanding of C/C++/C#, Java or other object-oriented development languages.
- Excel, VBA, demonstrated ability to quickly gain proficiency in custom and third-party applications
- Demonstrated managerial skills & project management skills
- Demonstrated self-directed ability to deliver in flatly-structured fast-paced environment