Quantitative Analyst
JD :
Experience of working in the below areas :
- Quantitative Modelling
- Risk Management
- CCAR Modelling / Validation
- Value at Risk Modelling / Validation, Back testing
- Stress testing / Scenario analysis
- Credit risk modelling / Validation (PD/LGD/EAD)
- Financial instruments / Derivative Valuations
- Basel II / Basel III advanced approaches capital calculations models
- Counterparty credit risk modelling / validation (CVA / PFE)
- Behavioral study modelling
- Liquidity risk
- FRTB
- Balance sheet forecasting models
- Mathematical modelling
- Domain understanding - Understanding of the risk management domain
- Knowledge of Statistical / analytical platforms such as SAS / Matlab / R is required
- Basic programming skills in VBA / C++ / .Net etc is required
- Model documentation
- Data validation and system information flow understanding
Candidate Requirement : Strong Oral and Written communication skills
Team player :
- Ability to lead and guide large teams
- Project management experience
The individual must possess and demonstrate high integrity and credibility as perceived by all those with whom s/he will work
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