Description
We are seeking a Wholesale Credit Risk/ Counterparty Credit Risk OR Market Risk Assistant Vice President to join our Quantitative Analytics Team in Mumbai.
The successful candidate will be responsible for designing, developing, implementing, and supporting mathematical, statistical, and machine learning models and analytics used in business decision-making.
Key responsibilities include:
- Designing analytics and modelling solutions to complex business problems using domain expertise
- Collaborating with technology to specify dependencies required for analytical solutions
- Developing high-performing, comprehensively documented analytics and modelling solutions
- Implementing analytics and models in accurate, stable, well-tested software
- Providing ongoing support for the continued effectiveness of analytics and modelling solutions
As an Assistant Vice President, you will be expected to:
- 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
To be successful in this role, you should have experience with:
- Hands-on coding experience (as a full-stack developer/agile developer etc.)
- Preferable language is Python, C/C++
- Knowledge of credit risk, counterparty credit risk, or market risk
- Experience in model development and/or model validation
- Stress testing/scenario modelling, statistical modelling
For Wholesale Credit Risk, you should have knowledge of:
- Probability of Default (PD), Loss Given Default (LGD), Exposure of Default (EAD)
- IFRS9/CECL/CCAR
For Counterparty Credit Risk, you should have knowledge of:
- IMM Models, SA-CCR, CVA, BASEL Framework, Monte Carlo Simulation
- Exposure/Collateral Modelling, PFE (Potential Future exposure), EPE, EPPE, Derivatives Pricing
For Market Risk, you should have knowledge of:
- FRTB – IMA and/or SA, VAR, Expected Shortfall (ES), BASEL Framework
- Monte Carlo Simulation, Stress Testing, Exposure Modelling, CVA