Assistant Vice President – CCR Models – Wholesale Credit

Role:

– Model Development experience for CCR Models (IMM , MMA, EPE, PFE, EEPE, SA CCR)

– You must have knowledge of the following in CCR – IMM Models, SA-CCR, CVA, BASEL Framework, Monte Carlo Simulation, Exposure / Collateral Modelling, PFE (Potential Future exposure), EPE , EPPE, Derivatives Pricing, Greeks, Risk Factor Modelling (Interest Rates, Equities, Credit, Commodities etc.), Back-testing, Numerical Analysis, SR 11/7, SS1/23. SS12/13 etc

– Hands on coding experience (as a full-stack developer / agile developer etc.

– Preferable language is Python, C/C++ etc)

– Hand on experience in Model Development and/or Model Validation (core development experience preferred)

– Experience in Stress Testing/Scenarios Modelling), Statistical Modelling (preferably for Wholesale credit book), Regulators and regulatory frameworks, Stakeholders – Model Owners, Audit, Validation