Solytics Partners - Counterparty Risk/xVA Quant Role

Company Profile:

Solytics Partners provide products and services to BFSI and Healthcare firms. We use AI/ML & cutting-edge technology to develop next generation solutions or provide efficient services. We have strong team of PHD's in AI/ML and experts in BFSI, and healthcare industry. Our regulatory compliant solutions and services enable leading financial institutions and corporations to create and sustain competitive advantage.

Job Title: Counterparty Risk/xVA Quants

Location: Pune

Experience: 2-5 Years

Education Qualification: Masters/Ph.D. in (Mathematics, Statistics, Financial Engineering, Economics, Actuarial, MBA or Quantitative discipline). CQF/FRM/CFA would be a plus.

Role Type: Permanent or Contract

Job Description:

Solytics is seeking a strong Counterparty Credit Risk professionals to be a member of Model Risk Management (MRM) team focussed on the developing, review, validation and risk assessment of Counterparty Risk, xVA pricing models under various regulatory regimes e.g. Basel-3, Dodd-frank etc.. Candidate must have relevant experience in statistical modelling, simulations, quantitative research, stochastic calculus, and practical understanding on Standard and Advanced approaches for xVA capital charges.

Responsibilities:

- Conducting model development, independent reviews/validation of the models and methodologies for Counterparty Credit Risk, xVA, PD and changes to existing models

- Work with the internal team on some of the niche area in designing analytical framework, automation solutions for xVA risk and pricing models using advanced Statistical and Mathematical concepts/toolkits, and open source like Python, R, Spark, and AWS

- Write model risk management technical documents (validation report, development and monitoring report) that will be presented to client's stakeholders and respective regulators

- Provide subject matter expertise and support business

- Deliver high quality client services, including work products, within expected timeframe and budget

- Develop and maintain effective relationships with clients and team members

- Participate in large scale client engagements/projects, meetings, PoC- s, RFP's etc.

Key Skills:

- Minimum 2 years of Financial services experience in Counterparty Risk and xVA developments

- Experience in validating/developing/review of EPE, PFE, EE, CVA, DVA, FVA, VaR, EAD, PD etc.

- Experience in developing/validating methodology for quantitative analyses required under various applicable work streams e.g. Netting, Closeouts, Collateral and Funding mechanics, Capital calculations etc.

- Deep understanding of various derivatives and exotic (Swaps/Swaption, Equities, IR/FX products etc.,) Pricing theories (Black Scholes, Stochastic calculus, Financial Mathematics, Ito's lemma, Statistics, Linear Algebra, Probability theory, Statistical distributions etc.)

- Solid understanding of interest rate curve construction/IR calibration, volatility models

- Hands-on experience on simulations, stability of model outcomes benchmarking, stress testing, scenario and sensitivity analysis.

- Good knowledge of Numeric, Murex, Python/R, SQL etc.,