ORCA Associate - Credit Quant

Associate ORCA (Credit Quant)

Role & Responsibilities of the position in brief:

- Development, improvement and testing of regulatory capital methodologies, work on methodology proposals and impact analysis.

- Perform computation, analysis of the regulatory capital requirement for different businesses of the firm.

- Drive requirements for economic and regulatory capital models and tools.

- Liaison with other teams to implement the methodologies and functionality to facilitate the regulatory capital calculation/optimisation.

- Assist Front Office, specially senior management, trading, business heads globally and Risk Managers in the analysis and computation of capital.

- Analyse and propose different strategies to optimize the capital.

Key Skills:

- Understanding of market risk and credit risk concepts such as VaR, Monte Carlo Simulation, CVA and regulatory models under Basel 2 and Basel 3.

- Sound quantitative and technical skills in excel, VBA, and sql ( optional ).

- Knowledge of fixed income products and derivatives, specially credit derivatives.

Education - Tier 1 colleges (B.Tech, MBA, MS)

Salary - Max upto 14 Lacs

Contact:- anuradhar@ikyaglobal.com