We are looking for candidates who have the expertise in Global Risk, Credit risk domain and have strong experience in Quant side and in counterparty credit risk.

Mandatory Desired Domain:

- 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 :

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

Role & 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.

Experience : 5 to 7 years

Qualifications :

- Masters in Quantitative discipline (B.E/B. Tech+, M. Tech, MSc (Maths/Stats), Econometrics)

- Looking for Tiering Institutes with relevant exposure in credit risk /Quant side along with counterparty credit risk experience.

Deepti Malik

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