VP/Associate - Counterparty Credit Risk Models - Bank

VP/Associate - Counterparty Credit Risk Models

- The model risk management function in a leading global bank in Mumbai is in-charge of developing model risk policy and control procedures, performing model validation, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.

- The candidate would be working towards covering the Risk areas such as Counterparty Credit Risk and/or Market Risk

Responsibilities :

- Engaging in new model validation and testing as per the suitability and comprehensiveness of performance metrics and risk measures associated with use of model.

- Perform model review on existing models.

- Liaise with various departments to provide oversight of and guidance on the models

- Maintain model risk control

Requirements :

PhD or Masters Degree in a quantitative discipline

Domain expertize in the relevant areas like: XVA (CVA, DVA, FVA, KVA), Counterparty Credit Risk Capital (CVA RWA/ Default RWA), Wholesale Credit Capital (Default RWA), TCP, SFA Securitization, Market Risk capital models including VaR Models, Derivatives pricing models, CCAR Models, Regulatory/Economic Capital Models, probability theory, econometrics, statistics, and numerical methods

Experience and knowledge in Quantitative Model Development, Model Validation, Trading or Structuring, Market/Credit Risk Management