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We Offer This is a Quant role in Quantitative Analysis and Technology, Central Methodology & Model Strategy, Model Performance Monitoring team with focus on:
A challenging role in the newly established Model Performance Monitoring team located in Mumbai as an Investment Banking Risk with the possibility to be part of a growing area right from the beginning.Our team is responsible for the model performance monitoring for all credit risk models owned by Credit Analytics
Development, prototyping and back-testing of Monte Carlo Credit Exposure Models including collateral modeling
Responsible for the generation and presentation of model performance reports for senior management, regulators as well as internal and external audit
Possibility to support the IT strategic implementation of complex risk and simulation systems
Close interaction with various partners including model owners and credit officers in order to generate valued reports on the model performance of credit risk models
Other bespoke requests regarding exposure analysis for several audit or regulatory reports. Preparing, processing and querying large amount of financial data
We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
You Offer You are able to demonstrate the following qualifications and competencies:
Experience/Knowledge with at least one of the following: OTC Derivatives, Secured Financing Transactions, Pricing models, Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)
Analytical skills /Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred.
You have a very good programming skills, eg. R, MATLAB, Python or C++, VBA, SQL, and Office package is highly recommended (any of them, R preferred)
You have deep knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.
You are responsible for deliverables. A winning personality, conceptual and strong written and verbal communication skills.
You are highly detail oriented and a strong team-player
You have excellent analytical and problem solving skills, especially with regards to financial analysis.
Flexibility and the ability to work in a diverse environment.
You are ambitious, hardworking who can work on own initiative with a high level of integrity, sense of urgency, attention to detail and quality standards
You understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.