Quantitative Analyst

6 days ago


Mumbai, Maharashtra, India beBeeRisk Full time ₹ 1,50,00,000 - ₹ 2,00,00,000
About Us

We are a specialized team within the Risk Department responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Credit Models, and Initial Margin models.

The successful candidate will be a member of the Counterparty Exposure Metrics sub-team. The team is responsible for the development and maintenance of Potential Future Exposure (PFE) models that measure Counterparty Exposure.

PFE is calculated in Markit fraimWRX cloud platform and covers Rates, FX, Credit, inflation, Equity and Bond Spreads, and derivatives, Repo and Securities lending transactions.

The team also covers model validation for the front office xVA model and its enhancements.



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