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16/11 Pushkaraj Ramesh Sawant
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)

Mumbai Job Code: 765569

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

Women-friendly workplace:

Maternity and Paternity Benefits

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