Quants Modeler - Market Risk - Investment Bank

Quants Modeler (Market Risk) with an Investment Bank in Chennai

We are looking for Quants Modeler - Market Risk for one of the leading Investment Bank.

Experience Range: 4-8 Years

Job Description:

This is a highly visible position within Counterparty Credit Risk group, we are looking for talented and creative quantitative modelers who will be responsible for implementation, maintenance, and debugging of model for its counterparty risk exposure and market risk framework that include credit and liquidity risk components as well. The model use includes regulatory reporting purposes such as SCCL and Basel; key input to management decisions and reporting to Senior Management and the Stakeholders on a regular basis.

The candidate must be able to provide intellectual leadership in terms of conducting cutting-edge research, identifying latest trends and developments in modeling, and recommending alternative solutions to analytically challenging problems.

The incumbent should be an expert in risk management concepts and quantitative modelling area.

Responsibilities:

- Market Risk Modelling and Pricing of variety of asset classes, PFE and VaR calculations for counterparty credit limit

- Back testing & benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic

- Interact with technology for model integration, and also model risk management group for timely delivery of model maintenance

Skills Required:

Understanding of VaR

Familiarity with tools such as Excel, Access, VBA, SQL

- Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms.

- Advanced experience in programming languages (Python, SQL, R, MATLAB)

- Ability to work in a high-pressure environment and a good team player.

- Must be extremely focused, detail oriented, results oriented and highly productive.

- Excellent communication and writing skills