Counterparty Risk Modeling and Analytics
2 days ago
Our client is a financial services group with an integrated global network spanning over 30 countries, servicing the needs of individuals, institutions, corporates and governments through its business divisions: Retail, Asset Management, Global Markets and Investment Banking, and Merchant Banking. The client is looking to hire exceptional Quant talents to be part of its Risk Management Division, particularly within its Risk Methodology team.
The Risk Methodology team develops the quantitative methodologies used to measure counterparty credit risk, provides analyses and consultation on credit risk quantification, and participates in global efforts on modelling credit risk exposure. This team is responsible for enhancement and methodological support to accommodate new business needs and
maintain regulatory compliance to ‘IMM approval’ from various global regulators.
At a generic level the team responsibilities include working on various regulatory requirements comprising model development and reviews, Backtesting of models, calibration, User Acceptance Testing, documentation of models, etc.
Role & Responsibilities:
- 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.
Skills & Expertise:
Working experience of 2 - 6 years in a Quantitative Finance Field - Market Risk Analytics / Risk Modeling / Credit Risk Analytics / Counter Party Credit Risk Analytics and Modeling / Derivative Pricing etc.
Hands on coding in Python ( Desired ) or any other programming language.
Working knowledge of Stochastic Calculations , Black Scholes , Hull & White models , Monte Carlo Simulations , etc
Education - Bachelors / Masters in any Quantitative Sciences or STEM
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