Credit Risk Analytics - IIT/IIM

MANDATORY IIT/IIM

Credit Risk Analytics

Responsibilities:

- Develop quantitative methodologies used to measure counterparty credit risk (Potential Exposure)

- Provide analyses and consultation on credit risk quantification

- Participate in global efforts on modeling credit risk exposure - Potential Exposure (PE)

- Work closely with PE development teams in London & Mumbai on implementation of models and systems

- Support business/risk managers for live complex structured derivatives transactions

- Back testing, Stress Testing, Calibration, User Acceptance Testing, Documentation of models

Soumya Venugopal