VP - Senior Risk Modeler - Investment Bank

We have an urgent opening with one of the leading Investment Bank for VP- Senior Risk Modeler for Mumbai location.

Job Description

Credit Scenarios and Stress Testing (CSST) team in Mumbai is part of the global CRM- Credit Analytics team. The primary role of the team is to measure and verify counterparty credit risk in several market shocks including primary single-factor, multi-factor and supervisory stress scenarios.

- The objective of the role is to lead the CSST- Mumbai and as a subject matter expert provide necessary direction and support to ensure the deliverable are met timely while maintaining the CS standards. This would require working closely with the colleagues in London and NY to support changes/enhancements to the CSST framework and additionally support credit stress testing reports for regulators as well as credit officers.

- Ensure delivery of high quality quant analysis and business support to CRM and FO at transaction and portfolio level

- Ensure that the external audit and regulatory commitments are met within agreed timelines.

- Collaborate with stake-holders in rolling out the changes/enhancements in line with Credit Analytics road map and key change initiatives.

- Ensure appropriate stakeholder management by pro-active communication of upcoming changes

- Timely response to all business requests from CRM and other stakeholders

- Improved constructive collaboration with other Credit Analytics teams

- Understand the existing processes and systems (and inter dependencies)

- Ability to map these to existing infrastructure (people & processes) in Credit Analytics and various strategic initiatives / projects taken within the group

- Take initiatives to share knowledge with the team and promote cross team KTs

- Using this knowledge to improve existing systems/processes

- Pro-active team management and development

- Ensure resources - systems/processes/people are organized effectively and efficiently

- Develop and inculcate healthy and collaborative work environment

- Team is properly trained, knowledge sharing established and working together productively

- Will need to take ownership of any task and see it through. Be a thinker and take proactive steps to improve process continually in order to take it to the next level. Should be comfortable working under Strict timelines.

Qualifications

- Should have experience with the following

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, RWA, Greeks)

- Prior exposure to stress testing methodology and reports

- Good MS Access skills

- Good VBA & SQL knowledge

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented.

- Team management experience.

- Exposure to the latest in credit risk and regulatory requirements across all major global regulators

Collaboration with credit risk methodology teams in London, Zurich and New York.

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Tejashree Waradkar
Senior Consultant
Black Turtle.
A-405, 4th Floor , KIC -Parksite, Vikhroli(West), Mumbai 400079,India
Dir No: +91 22 66848548|