Vice President - Counterparty Credit Risk Modelling - Investment Banking

Description:

Role & Responsibilities:

- To be a technical lead for the Mumbai team focusing on OTC derivatives counter party credit risk model development related work. Help the team understand Quant framework and to enable them to apply theory to practice.

- Provide analyses and consultation on counter party credit risk quantification. Participate in global efforts on modeling credit risk exposure.

- Work closely with global development teams on implementation of models and systems

- Implementation of CCR risk models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).

- To work on various regulatory requirements, Model performance reviews, Calibration, and to work on ad-hoc risk models as per business requirements.

Mandatory:

- Competitive knowledge of Derivatives product, Derivatives pricing theory including underlying Stochastic Calculus, Counterpart exposure concepts, Regulatory regimes.

- 10+ years of experience working within FO/risk methodology/model validation areas preferably as a model developer

- Understanding of source code version control using Git and hands-on experience of writing unit test

- Masters/PhD in a quantitative discipline

- Strong command over Python and MS-Excel/ VBA

- Strong verbal skills and ability of scientific writing for model and testing documentation

- Delivery focussed with the ability to work well under pressure and meet deadlines under compressed timescales

- Organisational skills, multi-tasking and detail oriented