VP/AVP - Quant - Credit Risk - BFSI

We have an opening for VP & AVP- Quant - Credit Risk for Mumbai Location .

Business Unit Overview:

Credit Risk Analytics develops the quantitative methodologies used to measure counterparty credit risk; provides analyses and consultation on credit risk quantification

Participate in global efforts on modelling credit risk exposure - Potential Exposure (PE)

Work closely with PE development teams in London & Mumbai on implementation of models and systems

Support business/risk managers for live complex structured derivatives transactions

Work on various regulatory requirements including Back testing, Stress Testing, Model reviews,

Calibration, User Acceptance Testing, Documentation of models

Work on ad hoc risk models as per business requirements.

Position Qualification:

Masters in Financial Engineering / Dual degree from IIT (Post graduates)

Roles & Responsibilities:

Day to day management of the Mumbai team. Help the team understand quant framework and to enable them to apply theory to practice.

- To own the daily validation and reporting of the counterparty exposures.

- Provide analyses and consultation on credit risk quantification Participate in global efforts on modeling credit risk exposure.

- Work closely with global development teams on implementation of models and systems

- Support business/risk managers for live complex structured derivatives transactions.

- Work on various regulatory requirements including Back testing, Stress Testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models Work on ad hoc risk models as per business requirements.

- To report OpRisk events, to update RCSA and KRIs

Mandatory

Knowledge of Derivatives, Monte carlo Simulation, Counterparty exposure concepts, Regulatory regime.

- Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics, Econometrics)

- Expert level knowledge on MS-Excel/ VBA and C++ knowledge is a plus

- Strong verbal and written communication skills

- Organisational skills, multi-tasking and detail oriented

- Delivery focussed with the ability to work well under pressure and meet deadlines under compressed timescales

- Day to day management of the Mumbai team. Help the team understand quant framework and to enable them to apply theory to practice.

- To own the daily validation and reporting of the counterparty exposures.

- Provide analyses and consultation on credit risk quantification Participate in global efforts on modeling credit risk exposure.

- Work closely with global development teams on implementation of models and systems

- Support business/risk managers for live complex structured derivatives transactions.

- Work on various regulatory requirements including Back testing, Stress Testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models Work on ad hoc risk models as per business requirements.

- To report OpRisk events, to update RCSA and KRIs.

If you find it is suitable then please send me your updated CV with below detail or provide me a reference .

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Handling a team of :

Tejashree Waradkar
Team Leader
Black Turtle
Dir No: +91 22 66848548|Mob No .8454843560