Description
We are seeking an Assistant Vice President - QA - Counterparty Credit Risk to join our Quantitative Analytics Team in Mumbai. You will spearhead the evolution of our digital landscape, driving innovation and excellence in credit risk models using industry-leading model development frameworks and methodologies.
Purpose of the Role: Design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making.
Accountabilities:
- Design analytics and modelling solutions to complex business problems using domain expertise.
- Collaborate with technology to specify dependencies required for analytical solutions.
- Develop high-performing, comprehensively documented analytics and modelling solutions.
- Implement analytics and models in accurate, stable, well-tested software.
- Provide ongoing support for the continued effectiveness of analytics and modelling solutions.
- Demonstrate conformance to all Barclays Enterprise Risk Management Policies.
Assistant Vice President Expectations:
- Advise and influence decision-making, contribute to policy development, and take responsibility for operational effectiveness.
- Lead a team performing complex tasks, using well-developed professional knowledge and skills.
- Set objectives, coach employees, and appraise performance.
- Demonstrate leadership behaviours to create an environment for colleagues to thrive.
Requirements:
- Experience with IMM Models, SA-CCR, CVA, BASEL Framework, Monte Carlo Simulation, Exposure / Collateral Modelling, PFE, EPE, EPPE, Derivatives Pricing, Greeks, Risk Factor Modelling, Back-testing, Numerical Analysis, SR 11/7, SS1/23, SS12/13.
- Hands-on coding experience in Python, C/C++.
- Experience in Model Development and/or Model Validation.
- Experience in Stress Testing/Scenarios Modelling, Statistical Modelling, Regulators, and regulatory frameworks.
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