Associate - Credit Risk Analysis - Quant Risk - IIT

Overview:

Credit Risk Analytics develops the quantitative methodologies used to measure counterparty credit risk (Potential Exposure); provides analyses and consultation on credit risk quantification

Qualification:

- Masters in Financial Engineering with specialization in Math / Statistics or post graduates from IIT & Quant Risk domain with below experience:

Pricing Risk models

Understanding of regulatory requirements

Counterparty credit risk

Good understanding of Derivatives

Excel / VBA / Ipython

Role & Responsibilities of the position in brief:

- Credit Risk Analytics develops the quantitative methodologies used to measure counterparty credit risk (Potential Exposure); provides analyses and consultation on credit risk quantification

- Participate in global efforts on modeling credit risk exposure

- Potential Exposure (PE) Work closely with PE development teams in London & Mumbai 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.

Key Skills:

- Knowledge of Derivatives, Monte carlo Simulation, Counterparty exposure concepts,

Regulatory regime

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

- Expert level knowledge on MS-Excel, VBA, ipython