An exciting opportunity to join the Credit Analytics CCR Methodology Team within CRM. Counterparty Credit Analytics Methodology (CCR Methodology) team in Mumbai is an integral part of the global CRM- Credit Analytics team. CCR Methodology owns and is responsible for further development of methodologies for several key areas in counterparty credit risk measurement, back-testing of IMM models, Wrong Way Risk calculations and Collateral treatment.

We Offer

The main responsibility of the job is to create mathematical frameworks and corresponding software components to perform regulatory driven backtesting of the bank's internal exposure models. In order to create and extend existing backtesting frameworks the role requires solid applied statistics knowledge as well as a basic understanding of quantitative finance. Besides proficiency in excel and other Office tools the role further demands good coding skills in a script language.

- A challenging role in the newly established Model Performance Monitoring team located in Mumbai as an Investment Banking Risk with the possibility to be part of a growing area right from the beginning. The team will be responsible for the model performance monitoring for all credit risk models owned by Credit Analytics

- Development, prototyping and back-testing of Monte Carlo Counterparty Credit Risk Models including exposure and collateral modelling.

- Possibility to support the IT strategic implementation of complex risk and simulation systems

- Close collaboration with several internal stakeholders around the globe (front office quants, financial accounting, CVA desk and other risk departments)

- Other bespoke requests regarding exposure analysis for several audit or regulatory requirement.

We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.

You Offer

Interested candidates must be able to demonstrate the following qualifications and competencies:

Sound knowledge in at least one of the following topics:

- Statistical analysis, Monte Carlo simulations, risk modeling

- Derivatives, Secured Financing Transactions pricing / modeling

- Computation of risk metrics (e.g VaR, EPE, PFE, Greeks))

- Analytical/Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred.

- Strong working knowledge of at least one programming language : R, C/C#/C++, Python is a must, VBA, SQL, and Office package is highly recommended

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables. A winning personality, conceptual and communication skills. Flexibility and the ability to work under pressure.

- Highly Detail Oriented and strong team players. Excellent analytical skills, especially with regards to financial analysis.

- Excellent communication and presentation skills as well as strong team-player skills. Fluency in English is mandatory

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.