Credit Risk :
Management Credit Analytics is a unit within the CRO Division. We are responsible for developing, maintaining and documenting the models and methodologies used to measure credit risk.
These activities involve frequent interaction with a number of significant stakeholders such as front office, credit risk management, financial accounting as well as auditors and regulators.
The team in Mumbai is part of the global CRM-Credit Analytics team. We work on the following areas:
- Counterparty Credit Risk / IMM Modelling
- Client Credit Risk / AIRB Modelling
- Monte-Carlo Methodologies
- Issuer Credit Risk / IRC / Credit Portfolio Modelling
- BaU Portfolio and Trade Analytics
- Scenarios and Stress Testing
- Model Performance Monitoring
As a member of this team you will be collaborating with colleagues and stakeholders globally to deliver on multiple projects we undertake in the above functional areas.
Roles in Credit :
- Analytics are technical and hence even for a managerial positions it will require candidates to be highly detail oriented and be able undertake hands-on tasks (for e.g. programming)
- Strong experience/knowledge in at least some of the following areas (in quant space) :
- Counterparty Credit Risk
- Pricing and valuation - Derivatives (across one or more asset classes)
- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)
- Credit Portfolio Modelling - Default and Migration Risk
- Risk Scenarios and Stress Testing
- Regulatory framework and rules (e.g. BASEL, CCAR etc.) AIRB - LGD, PD and CCF Modelling
- Back-Testing and Monte-Carlo Methodologies
- Strong Quant skills and aptitude:
- We expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas
Good technical skills :
- Exposure/hands on to at least one of the below programming language/database :
i. Programming and Algorithms : R, Python, Java, C++, Matlab, VBA etc.
ii. Database and SQL: MS Access, MySQL, Oracle etc.
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