VP - Global Risk - Quant - Financial Services

VP - Global Risk (Quant experience) for a reputed financial organization

Role & Responsibilities:

- To lead the Mumbai CRA team focusing on OTC derivatives. Help the team understand Quant framework and to enable them to apply theory to practice.

- To act as a subject matter expert for the counterparty risk models and in providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models.

- Implementation of 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 participate in periodic review of models and calibration of model parameters.

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

- To support business/risk managers in terms of pre-trade analytics of live complex structured derivatives transactions.

- To work on various regulatory requirements including Backtesting, Model reviews, Calibration, User Acceptance Testing, Documentation of models, and to work on ad-hoc risk models as per business requirements.

- To strengthen the risk governance process by reporting any Operational Risk events, to update RCSA and KRIs.

Mandatory Skills:

- Knowledge of Derivatives, Stochastic Calculus, Counterparty exposure concepts, Regulatory regimes.

- 8+ years of experience working within risk domain, preferably counterparty risk

- Masters/PhD in a quantitative discipline

- Expert level knowledge on MSExcel/ VBA and Python

- Strong verbal and written communication skills

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

- Organisational skills, multi-tasking and detail oriented

Desired Skills: FRM/PRM/CFA certification would be added advantage.