Senior Quant Modeller

Our client is a leading global financial services group. We seek a Senior Quant Modeller or a Senior Credit Portfolio Modeller who brings credit modelling experience with strong statistical knowledge to work in Mumbai on Credit Economic Risk Capital.

Some of the key responsibilities will include:

- Seek to identify and define product-specific risk characteristics (trading book assets, retail and wholesale loans, OTC derivatives, etc.).

- Strong statistical knowledge.

- Create the model, test, run script.

- Mathematical design, calibration, prototyping and production implementation of credit portfolio models.

- Regression modelling.

- Working closely with the Credit Economic Risk Capital teams on methodology development work. Work with Risk IT who implements the methodology.

- Model documentation.

To be eligible for this role you will require:

- 4+ years of proven relevant work or academic experience in credit risk modelling, possibly in credit portfolio/economic capital modelling or counterparty exposure modelling.

- Advanced technical degree (PhD or master's degree e.g., in mathematics, statistics, econometrics, physics or engineering), ideally with a strong curriculum in statistics/econometrics, quantitative finance or computer science.

- Good programming skills set in Python / any OOP and R

- Phenomenal written and verbal communication and presentation skills.