Senior Consultant/Manager/Senior Manager - CCR Quant

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.