AVP/VP Credit Risk Model Performance Monitoring- Quant role- Mumbai
Role:
This is a Quant role in CCR Methodology, Model Performance Monitoring division with focus on:
- A challenging role in the newly established Model Performance Monitoring team located in Mumbai as an Investment Banking Risk with the possibility to be part of a growing area right from the beginning.
- The team will be responsible for the model performance monitoring for all credit risk models owned by Credit Analytics
- Development, prototyping and back-testing of Monte Carlo Credit Exposure Models including collateral modelling, AIRB PD, LGD, Rating Models, CCF models.
- Responsible for the generation and presentation of model performance reports for senior management, regulators as well as internal and external audit
- Possibility to support the IT strategic implementation of complex risk and simulation systems
- Close interaction with various stakeholders including model owners and credit officers in order to generate value added reports on the model performance of credit risk models
- Other bespoke requests regarding exposure analysis for several audit or regulatory reports. Preparing, processing and querying large amount of financial data
- We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.
Required Experience:
- Interested candidates must be able to demonstrate the following qualifications and competencies:
- Should have experience/Knowledge with at least one of the following
OTC Derivatives, Secured Financing Transactions
Pricing models
Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)
Knowledge of AIRB parameters modeling ( PD, LGD, EAD, Rating Models)
- Analytical/Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred.
- Very good programming skills, eg. R, MATLAB, Python or C++, 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. A winning personality, conceptual and communication skills.
- Highly Detail Oriented and strong team players. Excellent analytical skills, especially with regards to financial analysis.
- Flexibility and the ability to work under pressure.
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