VP - Risk Modeling - Investment Banking

Currently hiring for client based in Mumbai

Note : Looking for only female candidates.

Co Name : Leading Investment Banking MNC

Designation : VP

Exp : 8+

Requirement : Experience in the following areas.

1. IRRBB Modeling /ALM Modeling /Treasury Modeling

2.Market Risk Modeling /Derivative Pricing/ Pricing Model /Var Model

3. Credit Risk Modeling / PD/LGD/EAD/CCAR/PPNR.

4. Statistical Modeling / Econometric Modeling

Role :

- The candidate will be part of the ALM behavioral parameter calibration group within the Asset & Liability Management (ALM) function.

- The ALM function is responsible for managing the interest rate risk in the banking book (IRRBB).

- The team develops, parameterizes, and implements quantitative models to measure the risk across a large and diverse portfolio [eg 120 deposit portfolios but also various assets in varied markets across the globe] some with complex [eg non linear features].

- The results are used for risk management decisions and regular internal and external reporting.

- The team recommend and execute hedging and optimization strategies.

- The team acts as an intermediary in treasury itself and between the business units ['BU'] and other central functions like Market Risk Mgt. This gives you a unique view into many exciting, complex and important risk management topics.