Head of Recruitment at Solytics Partners
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Solytics Partners - Counterparty Risk/xVA Quant Role (2-5 yrs)
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
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
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.
- 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.
- 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.,