Solytics Partners - Counterparty Credit Risk Role - Quant

Counterparty Credit Risk - Quant

Solytics is seeking a strong Counterparty Credit Risk professionals to be a member of Model Risk Management (MRM) team focussed on the developing, review, validation and risk assessment of counterparty risk models. Candidate must have relevant experience in statistical modelling, simulations, quantitative research, stochastic calculus, market risk management, counterparty risk management or related field.

Responsibilities:

- Conducting model development, independent reviews/validation of the newly developed Counterparty Risk models and methodologies and changes to existing models

- Work with the internal team on some of the niche area in designing analytical frameworks, automation solutions for market risk, pricing or Counterparty models using open source like Python and R

- Write model risk management technical documents (validation report, development and monitoring report) that will be presented to the client's stakeholders and respective regulators.

- Provide subject matter expertise and support business

- Deliver high-quality client services, including work products, within the expected timeframe and budget

- Develop and maintain effective relationships with clients and team members

- Participate in large scale client engagements/projects, meetings, PoC's, RFP's etc.,

Key Skills:

- Minimum 4 years of Financial services experience in counterparty credit risk modeling/validation

- Knowledge of Counterparty Credit Risk, Exposure calculation methodologies (simulation, aggregation, limit monitoring). Experience of implementing both Modelled and Non-Modelled calculation algorithms.

- Previous experience of validating counterparty exposure on a daily, monthly, and quarterly basis using various metrics, including Exposure metrics (PFE, EPE, EEPE, EAD etc) and VAR computation using both Internal Model (IMM) and Standardized approaches like CEM.

- Hands-on Experience of Exposure Calculation (EAD/PFE) at the Portfolio level for both Modelled (IMM) & Non-Modelled (CEM/SACCR, Credit VAR, CEF) transactions.

- Experience in developing/validating methodology for the quantitative analysis required on various work streams.

- Hands-on experience on simulations, stability of model outcomes, benchmarking, stress testing, scenario, and sensitivity analysis.

- Strong data management and programming (Python, R, SQL) skills

- Good knowledge of Numeric, Murex, Bloomberg, etc.,

- Ability to work independently.

- Strong communication and presentation skills and SR 11-7 compliant model documentation skills