Vice President - Quant Risk

Responsibilities:

Day to day management of the Mumbai team. Help the team understand quant framework and to enable them to apply theory to practice.

To own the daily validation and reporting of the counterparty exposures.

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

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

Support business/risk managers for live complex structured derivatives transactions.

Work on various regulatory requirements including Back testing, Stress Testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models Work on ad hoc risk models as per business requirements.

To report OpRisk events, to update RCSA and KRIs.

Skills:

Knowledge of Derivatives, Monte carlo Simulation, Counterparty exposure concepts, Regulatory regime.

Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics, Econometrics)

Expert level knowledge on MS-Excel/ VBA and C++ knowledge is a plus