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13/06 Shalini Rana
Leadership Hiring at Mancer Consulting Services Pvt. Ltd

Views:3017 Applications:34 Rec. Actions:Recruiter Actions:22

Director - Counterparty Credit Risk - Investment Bank (15-20 yrs)

Mumbai Job Code: 582974

Key Deliverables

- Counterparty Credit Risk (CCR) Back Testing (BT) team in Mumbai is an integral part of the global Credit Analytics team of the bank.

- A challenging role in the Risk area located in Mumbai as an Investment Banking Risk Quant .

- Development and prototyping of methodologies for back-testing of Monte Carlo Credit Exposure Models using R/Mathematica/C++.

- Counterparty Credit exposure calculations according to Basel 3/CRD4.

- Responsibility for the development of risk methodologies relevant for capital calculations, specific to derivatives for FINMA, PRA and SEC.

- Collaboration with IT to deliver strategic implementation of complex risk and simulation systems.

- Collaboration with internal stakeholders in the Investment Bank of Company (CVA desk, CRM, reporting) to develop methodologies for estimating key deliverable like stress window etc.

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

Qualifications/ competencies

Backtetsing :

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

- Experience of at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling

- Working knowledge of at least one of R, MATLAB, Python or C++ is a must

- VBA, SQL, and Office package is highly recommended

- Being responsible for deliverables.

- Good Communication skills.


- Highly Detail Oriented and strong team manager.

Sr. Manager Leadership Hiring
Enigma Human Capital

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

Women-friendly workplace:

Maternity and Paternity Benefits

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