Overview
Candidates with counterparty risk exp + mathematical/statistical background + tools (VBA/Python)
We are looking for Associate level/Sr. Associate
Qualification : Masters in Quantitative discipline (B.E/B. Tech+, M. Tech, MSc (Maths/Stats), Econometrics)
Role & Responsibilities :
– This role will focus on the SFT side of the business from counterparty risk point of view
– Provides analysis and consultation on counterparty credit risk quantification and participate in global efforts on modelling counterparty credit risk exposure.
– Work closely with model Global development teams on implementation of models and systems.
– Work on various regulatory requirements including Back testing, Model reviews, Calibration, User Acceptance Testing, Documentation of models.
– Work on ad hoc risk models as per business requirements.
– 5+ years of experience working within risk domain, preferably counterparty risk
– Knowledge of Bonds/Repos, HCs, Stochastic Calculus, Counterparty exposure concepts, Regulatory regime
– Knowledge of fixed income including pricing various traded bonds ranging from vanilla to exotic
– Proficiency in Excel-VBA/Python
– Strong verbal and written communication skills