Director - Counterparty Credit Risk - Investment Bank

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