Leader - Model Development - Credit Risk/Rating

Roles & Responsibilities

- Limit monitoring of credit exposure on a daily basis

- Financial disclosure reporting of derivative (FASB) and off balance sheet exposures

- Level III classification and disclosure reporting

- Team management of a large team involved in risk management services to the client

- Account management and relationship management

- Business development of risk management services across risk horizontal and global clients

Requirements :

- Strong understanding of Financial Markets with increased focus on Credit, Market & Interest Rate Risk framework of both Balance Sheet Products and Derivatives. Exposure to treasury products such as Interest rate swaps, currency swaps, cross currency swaps, credit default swaps, swaptions, caps & floors.

- Strong understanding of Market Risk concepts like VAR, Stress testing, Economic capital Estimation, Volatility Analysis, Scenario Analysis.

- Strong understanding of Credit risk concepts like Credit Value adjustment, Credit Exposure and Counterparty Credit Risk

- Quantitative skills in Model Development and Validation. Develop and test models used to estimate VaR (Parametric & Non Parametric), Stress Tests, Validate Market Valuation and Interest Rate risk models, EaR, Market Data Models, Yield Curve Construction, Calibration of existing models.

- Strong understanding of Credit Ratings & Ratings Migration