Quantitative Risk Analyst - Credit/Market Risk

Job Description

Quantitative Risk Analyst

Experience 1-3 yrs

Location:Mumbai

Principal Responsibilities:

The critical performance areas of the function include the following:

This position will be responsible to provide quantitative support and analysis across the market and credit risk spaces which includes modeling financial risk and return as well as validation thereof.

- To be actively involved in the development, validation and maintenance ofcredit rating methodologies and models (PD, LGD, EAD and related migrations) for the Wholesale Credit Portfolio to establish their fitness for purpose in the business and recommend improvements or remedial action.

- To actively assist in the development / enhancement of pricing methodologies for on Balance Sheet Loans, taking into account the composition of the Wholesale Credit Portfolio (i.e. calculation of term structure of default probabilities, pricing for capital, point-in-time credit vs. through-the-cycle risk, underwriting risk, etc).

- To actively conduct portfolio analytics and prepare accurate reports to satisfy risk reporting requirements, with relevant interpretation of analysis for business users.

- To model new instruments onto the risk system as well as assist front office traders and risk managers with any risk related requests and risk methodologies or longer term projects.

- To independently validate and document various types of financial instruments, interest rate derivatives, FX, commodities, credit derivatives and exotic derivatives of Group Market Risk

Responsible for development and maintenance of Value-at-Risk (VAR)/ Expected Tail Loss (ETL) and other risk measures to manage the bank's risk

Required Skills and experience:

The role requires an understanding of the development and calibration of quantitative methodologies used in the measurement of risk and modeling of financial instruments therefore a strong mathematical background in a financial context is preferred.

The following skills/competencies are required for the job:

- Very strong mathematical skills with a good understanding of financial markets and investments.

- Strong analytical ability and a reasonable understanding of financial statement analysis and reporting.

- General knowledge of the macro economy, commerce and industry.

- Knowledge of Basel II& III and capital as it pertains to both market and credit risk.

- Commitment to excellence, detail and delivery.

- Computer literate: MS Office, VBA, SAS, MatLab, Eviews, C++ etc.

- Very good report writing and presentation skills.

- Be able to work without constant supervision as well as in a team.

- Able to develop & manage stakeholder relationships.

Minimum qualifications and experience required:

- Qualifications: The successful candidate must have a specialist postgraduate academic background in relevant quantitative and/or financial disciplines.

- A CFA/FRM qualification would be an advantage.

- 1-3 year's working experience in quantitative/risk domain.