Counterparty Risk & OTC Derivative Role - Bank

Hiring for a Leading Bank - Counterparty Risk & OTC Derivative

Roles and Responsibilities :

- Research and development of new counterparty exposure analytics for the computation of FRTB SA-CVA.

- Business analysis and development of modelling prototypes. Implementation of risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).

- Provision of support for the exposure and regulatory capital (IMM) models (including exposure sensitivities).

- Provision of quantitative support to the trading desks for pre-deal portfolio risk and regulatory/economic capital analysis.

- To work on various regulatory requirements and to work on ad-hoc risk models as per business requirements

Mandatory skill sets :

- Knowledge of Derivatives, Stochastic Calculus, Counterparty exposure concepts

- 5+ years of experience working within risk domain, preferably counterparty risk

- Masters/PhD in a quantitative discipline

- Expert level knowledge on C++ and Python

Desired Skill Sets :

- Experience in modelling counterparty exposure and regulatory standards and capital requirements under Basel III / FRTB CVA