Senior Manager - Credit Risk - Quantitative Models

We are seeking a quantitative risk analyst to work within Market risk and derivative valuations team to provide advisory services to our clients and to assist our clients in quantitative methodologies/ models development, to perform quantitative models validation and to value various simple and complex financial derivatives. The role includes interacting with Client's Risk Management Team, developing new methodologies / quantitative models for our clients, performing existing methodology review ensuring that the models developed by Client are sound and complying with regulatory requirement, suggesting improvements to the methodology/models, developing Proprietary models to value vanilla & structured financial derivatives and valuing those financial derivatives, performing difference resolution if there is any difference between our client valuations and Independent valuations

Roles and Responsibilities

- Lead large scale client engagements while consistently delivering quality client services

- Provide project management oversight by driving high-quality work products within expected timeframes and on budget

- Monitor progress, manage risk, and effectively communicate with k stakeholders regarding status, issues and k priorities to achieve expected outcomes

- Manage expectations of client service delivery. Stay abreast of current business and industry trends relevant to the client's business

- Effectively lead and motivate teams with diverse skills and backgrounds

- Play an active role in counseling and mentoring junior consultants within the organization (e.g., providing training, mentoring, on-the-job coaching)

- Develop and maintain long-term client relationships and networks

- Demonstrate deep and current technical capabilities and industry knowledge

- Understand market trends and demands for consulting services in the financial services sector and issues facing clients

- Support sales and project budgeting activities

- Most of the engagements would include the following:

1. Developing Quantitative methodologies / Quantitative models especially on financial derivatives pricing, VaR, Expected Shortfall, Default risk measurement and stress testing framework.

2. The candidate will provide market risk oversight to regulatory projects (such as PRA, FED CCAR, BCBS's FRTB etc)

3. Carry out an independent detailed validation of existing models used both for pricing and risk measurement like VaR models, Expected shortfall models etc., in the following asset classes: IR, FX, Equity, Commodity and credit.

4. Identify modelling issues in existing systems and propose practical solutions.

5. Improve the current products/models with a special emphasis on valuation and risk management.

6. Develop pricing models & price various vanilla and structured Over the Counter (OTC) financial derivatives using proprietary models (including models built on Matlab, R, @Risk) and third party valuations tools (such as FiNCAD, Numerix, Super-Derivatives etc.,) using market data from market data sources like Bloomberg, Reuters, Tullett Prebon, ICAP, Super-Derivatives etc.,

7. Perform difference resolution if difference between client derivative valuations and independent valuations

8. Produce/prepare findings/recommendation reports, model documentations and summaries for presentation to our clients, senior management and regulators.

Skills, Qualifications, Experience and Knowledge required

- Excellent knowledge of mathematics across most or all of the following areas: calculus, stochastic calculus, probability, partial differential equations and linear algebra. The level we require is at least typically evidenced by a Master's level degree in a highly numerical subject, although outstanding candidates with a postgraduate master's degree in other subjects will also be considered.

- Hands-on experience of scientific computing, solving complex mathematical problems using numerical methods. We have a preference for candidates with experience in Matlab, C++ languages.

- Minimum of 4+ years of relevant experience. Relevant experiences will be in trading/structuring positions, quantitative model development/validation, quantitative analysis, market risk management and regulatory capital calculation

- Working knowledge of market risk management models such as VaR, Expected shortfall, default risk, Stress-testing, etc. Knowledge of industry best practices in risk modelling methodologies.

- Analytically minded and detail orientated with strong control mind-set to proactively investigating issues and develop solutions

- Competent in using Microsoft Office suite (PowerPoint, Excel, VBA programing)

- Solid presentation skills both written and oral, confident communicator

- Depending on the projects requirements, candidates might be required to travel for client projects within India or abroad (i.e. US, UK, Middle East, other regions). We want candidates to be open for travel for short / long term.

- Sufficient managerial experience such as:

- Demonstrated experience in:

1. Managing initiatives, including project management oversight, implementation efforts and/or new businesses

2. Developing industry/client relationships and leveraging these to drive results

3. Building and managing teams to support initiatives and achieve objectives

- Responsibility for junior resource development (e.g., training, mentorship programs, and/or on-the-job coaching)

- Responsibility for identifying and supporting sales and project budgeting activities