AVP - Credit Risk Quantitative Analyst - Investment Bank

A leading Global Investment Bank is seeking for a AVP -Credit Risk Quantitative Analyst

Job Location: Mumbai

Key Competencies:

- Advanced / Master's degree in finance, mathematics, econometric, engineering or other quantitative subject.

- Candidates from other streams who are able to demonstrate solid quantitative understanding to be able to understand the stress testing framework in depth are welcome to apply as well.

- 5+ years- experience in quantitative risk management in financial services.

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department.

- Some experience in bank regulatory capital, Basel II/III would be advantageous

- Familiarity with programming (preferably in R)

Responsibilities:

- Opportunity to participate in the development of state of the art stress testing models for wholesale credit risk .

- Involvement in the delivery of an ambitious CCAR program.

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle ( includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle).

- Liaising internally with risk managers and Front Office clients, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the IB Parameters team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.