Vice President - Credit Risk Analytics (CRA) - OTC Derivatives Model Development

Location : Mumbai (Hybrid - Normal working hours)

Corporate Title : Vice President (VP to VP only)

Experience : 10+ years

Qualification: Master's / PhD in a quantitative discipline (Mathematics, Statistics, Econometrics, Financial Engineering, or equivalent)

Role Overview :

- We are looking for a hands- on technical lead to join our Credit Risk Analytics (CRA) team in Mumbai. You will lead development of quantitative models for counterparty credit risk (CCR) within the firm's global counterparty credit exposure measurement system (an internal system comparable to PRISM).

- This is a developer role, not a validation or model risk role. You will write production source code, design numerical schemes, and work directly with global teams to implement risk models for OTC derivatives.

Most Important - Hands- on Option Model Development :

You must have production- level experience in developing option pricing models - ideally stochastic volatility models (Heston, SABR, or similar).

"Hands- on" means :

- Writing production source code in a development team

- Using Git for version control and writing unit tests

- Understanding the numerical differences between option models (local vol, stochastic vol, etc.)

- Implementing Monte Carlo (MC) methods as a must

- Working with derivatives pricing theory including underlying stochastic calculus

Key Responsibilities :

- Lead the Mumbai CRA team on OTC derivatives model development; help the team apply quantitative theory to production code

- Develop and implement risk models into the strategic risk system - including methodology, prototyping, technical business requirements, model testing, and regulatory compliance

- Work closely with global development teams on model implementation

- Support business and risk managers on live structured derivatives transactions

- Handle regulatory requirements: backtesting, Model Performance Monitoring (MPM), stress testing, calibration, User Acceptance Testing, and model documentation

- Provide analysis and consultation on credit risk quantification

Must- Have Skills (Hard Requirements)

Domain Specifics :

- Derivatives & Pricing Strong knowledge of derivatives products, pricing theory, counterparty exposure concepts, and stochastic calculus

- Option Models Hands- on development of option pricing models; stochastic volatility models highly preferred

- Numerical Methods Monte Carlo is mandatory; finite differences, integration schemes

- Programming Strong command of Python and MS- Excel / VBA

- Development Practices Git (source code version control), unit testing, production code writing

- CCR / Risk Direct experience in counterparty credit risk (CCR) - must have

- Documentation Strong scientific writing for model and testing documentation

Education : Master's/PhD in Maths, Stats, Econometrics, or similar quantitative field

Soft Skills Delivery- focused, works well under pressure, organised, multi- tasking, detail- oriented

Good- to- Have/Preferred :

- Exposure to internal CCR systems (e.g., PRISM-like platforms)

- Experience with regulatory regimes (SEC/NFA, PRA, J- FSA)

- Background from peer banks or global financial institutions

- Returning Indians working abroad are strongly encouraged to apply

- Strong pedigree in education and past employment

What We Offer :

- Purpose- driven, inclusive workplace with wellbeing support

- Comprehensive wellbeing services and benefits covering employees and families

- Hybrid working (normal office hours, Mumbai)

- Opportunity to work on global risk systems with teams across East & West