Counterparty Credit Risk Quantitative Analyst - BFSI

The primary focus of the Counterparty Credit Risk (CCR) Quantitative Analyst is the development and support of the counterparty exposure risk models across all asset classes. The main duties include:

- Development and support of Monte Carlo based CCR models, including market

- Risk factor modeling, pricing of derivative products, collateral treatment, and margining and aggregation.

- Monitoring of model performance via backtesting, valuation deviation analysis, and other ad hoc analysis

- Development of processes to comply with new regulatory requirements in the CCR space (e.g. Initial Margin, SA-CCR)

The successful candidate is expected to:

- Involve in defining and maintaining counterparty credit risk exposure methodologies and supporting the implementation of a robust risk measurement framework for the purpose of effective risk management and regulatory capital calculation.

- Run and improve the processes designed to monitor model performance, analyze their output and prepare reports for stakeholders.

- Provide technical and methodological support to credit risk managers, traders, and other stakeholders in accurate exposure quantification of new transactions.

- Assist credit risk reporting functions in the development of effective reporting tools enabling responsive and proactive reviews of the trading book credit risk exposure.

Skills

- Strong background in financial mathematics (derivatives models, probability theory, stochastic calculus)

- Good understanding of financial markets and traded derivative products

- Programming in Matlab/ VBA/SAS required

- Ability to manage multiple initiatives in parallel

- Excellent written and interpersonal skills. In particular, the ability to explain technical topics to a non-technical audience.

- Organized and self-motivated person with ability to work in a team and develop models in time.

Education

High quality graduate/postgraduate degree/DEA/PhD in Quantitative Finance, Economics, Physics, Mathematics, Engineering.