AVP/VP - Credit Risk Management - BFS

Role overview:

Counterparty Credit Risk (CCR) Back Testing (BT) team in Mumbai is an integral part of the global CRM - Credit Analytics team. CCR BT team is responsible for Backtesting CCR methodologies and models. The team is also involved in the development and implementation (R programming) of Back testing methodologies for several key areas like IMM models (Exposure and Collateral)

The objective of the role is to work closely with the colleagues in London, Zurich and NY to support changes/enhancements to the methodology frameworks and additionally support several tactical process and reports for regulators as well as credit officers.

Key Deliverables:

- A challenging role in the Risk area located in Mumbai as an Investment Banking Risk Quant for the CA CCR BT team of the Investment Banking with focus on:

- Development and prototyping of methodologies for back-testing of Monte Carlo Credit Exposure Models using R/Mathematica/C++

- Counterparty Credit exposure calculations according to Basel 3/CRD4

- Responsibility for the development of risk methodologies relevant for capital calculations, specific to derivatives for FINMA, PRA and SEC

- Collaboration with IT to deliver strategic implementation of complex risk and simulation systems.

- Collaboration with internal stakeholders in the Investment Bank (CVA desk, CRM, reporting) to develop methodologies for estimating key deliverable like stress window etc.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

Additional duties and responsibilities:

- Will need to take ownership of any task and see it through. Be a thinker and take proactive steps to improve process continually in order to take it to the next level. Should be comfortable working under strict timelines.

Qualifications/ competencies:

Backtetsing :

- Analytical/Numerical degree (Physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred

- Experience of at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling

- Working knowledge of at least one of R, MATLAB, Python or C++ is a must

- VBA, SQL, and Office package is highly recommended

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented and strong team players.