Roles & Responsibilities:
This role will focus on the SFT side of the business from counterparty risk point of view;
- Provides analyses and consultation on credit risk quantification Participate in global efforts on modeling credit risk exposure
- Work closely with PE development teams in London & Mumbai on implementation of models and systems.
- Work on various regulatory requirements including Back testing, Stress Testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models
- Work on ad hoc risk models as per business requirements.
Key Skills:
- Knowledge of Bonds/Repos, HCs, Monte Carlo Simulation, Counterparty exposure concepts, Regulatory regime.
- Proficiency in Excel-VBA/Python,
- Strong verbal and written communication skills
- Organisational skills, multi-tasking and detail oriented
- Delivery focused with the ability to work well under pressure and meet deadlines under compressed timescales
Qualification :
Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics, Econometrics)
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