Associate - Risk Methodology - SFT

Corporate Title - Associate

Experience : 3 to 7 years

Qualification : Masters in Quantitative discipline (B.E/B. Tech+, M. Tech, MSc (Maths/Stats), Econometrics)

Job Location : Mumbai Powai

Business Unit Overview:

- Credit Risk Analytics team within Risk Methodology Group (RMG) develops the quantitative methodologies used to measure counterparty credit risk, provides analyses and consultation on credit risk quantification, and participates in global efforts on modelling credit risk exposure.

- This team is responsible for enhancement and methodological support to accommodate new business needs and maintain regulatory compliance to 'IMM approval' from various global regulators. This team also provides active support to business/risk managers by carrying out pre-trade analytics on live complex structured derivatives transactions.

- At a generic level the team responsibilities include working on various regulatory requirements
comprising model development and reviews, Backtesting of models, calibration, User Acceptance

Testing, documentation of models, etc.

Role & Responsibilities:

- This role will focus on the SFT side of the business from counterparty risk point of view;

- Provides analysis and consultation on counterparty credit risk quantification and participate in global efforts on modelling counterparty credit risk exposure.

- Work closely with model Global development teams on implementation of models and systems.

- Work on various regulatory requirements including Back testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models.

- Work on ad hoc risk models as per business requirements.

Mandatory Skills:

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

- Knowledge of Bonds/Repos, HCs, Stochastic Calculus, Counterparty exposure concepts, Regulatory regime

- Knowledge of fixed income including pricing various traded bonds ranging from vanilla to exotic

- Proficiency in Excel-VBA/Python

- Strong verbal and written communication skills