Posted By
Posted in
Banking & Finance
Job Code
1348793
Sr. consultant/Manager/Sr. manager- CCR Quant
PFB the JD:
- Experience in developing/validating the quantitative and mathematical models for the CCR/XVAs
- Have a good understanding of risk simulation under IMM and derivative pricing models
- Able to demonstrate SME skills on Various Credit risk exposure computation methods such as SA-CCR, CEM and IMM- Monte carlo simulation
- Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc
- Understanding of Valuation adjustments such as CVA, DVA, FVA etc
- Deep Understanding of various derivatives and exotics (Black Scholes, Stochastic calculus etc)
- Hands on experience of python in model development/validation role
- Understanding of Collateral Modelling for Variation Margin and Initial Margin
To qualify for the role, you must have :
- 1 to 7 years of relevant work experience
- Master's or MBA in Quantitative finance or PG with FRM/CQF/CFA charter
- Programming skills like Python, C++, R are must have
Skills and attributes :
In addition to technical competence:
- Strong analytical, problem solving and critical thinking skills
- Willingness to learn and continuously expand technical and business skills
- Strong communication, presentation and writing skills in Knowledge of additional languages will be considered an asset
- Excellent interpersonal skills and ability to work effectively within a team.
- Project management skills
Note-: Immediate joiner or Serving notice OR official Notice period: 1 months not more than this. 2 months or 3 months' Notice period won't work.
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Posted By
Posted in
Banking & Finance
Job Code
1348793