Avp - Crpm, Mumbai

**Job Title - **AVP/Associate

**Location - **Mumbai

**Role Description**

The CCR Pre-Deal team is a core function within the Counterparty Credit Risk Exposure Management team of the overall Risk division. The global team is based in 3 locations - London, NY, and Mumbai. The group is responsible for analysing pre-deal credit exposures for the whole spectrum of derivative products. The group also performs analysis on counterparty portfolios, highlighting possible extreme movements in MtM driven by market factors and making Credit Risk Management aware of highly structured or highly sensitive transactions. Team’s mandate also includes management of the SPV repack portfolio.

The team performs comprehensive pre-deal assessment of complex / structured transactions using quantitative/qualitative risk management techniques such as VAR, Potential Future Exposure (PFE), back-testing, scenario / stress testing, dynamic credit hedging & other risk enhancements, and identification of other non-trivial risks (liquidity, wrong-way, dislocation, concentration risk, gap risk). Scope encompasses:

- all counterparty types
- all derivatives/financing products (rates, FX, equity, credit, commodity, emerging markets, structured products)
- all businesses (franchise, wealth management, prime brokerage, cleared, listed, repos, stock loan borrow)

This may involve working with existing spreadsheet tools or setting up customized tools which use the bank’s internal pricing models. We ensure consistency in approaches among the various locations.

**What we’ll offer you**

As part of our flexible scheme, here are just some of the benefits that you’ll enjoy
- Best in class leave policy
- Gender neutral parental leaves
- 100% reimbursement under childcare assistance benefit (gender neutral)
- Sponsorship for Industry relevant certifications and education
- Employee Assistance Program for you and your family members
- Comprehensive Hospitalization Insurance for you and your dependents
- Accident and Term life Insurance
- Complementary Health screening for 35 yrs. and above

**Your key responsibilities**
- Perform analysis of credit risk of individual derivative trades, typically structured, across all products in the firm - fixed income, equities, commodities, emerging markets, asset-backed and foreign exchange for transaction approval and counterparty portfolio assessment.
- Pre-deal trade level initial margin calculation for derivatives & collateral haircut calculation for complex financings
- Review portfolio based prime brokerage (Rates, FX, Equities, Credit), Wealth Management Advance Ratios, and clearing house (CCP) margining methodologies
- Daily interaction with credit officers and front office sales, structuring and trading to discuss trade structures
- Perform ad-hoc scenario analyses and stress tests across portfolios of counterparties and business lines.
- Participate in discussions of risk mitigation for large complex transactions.
- Active involvement with CCR Pre-Deal colleagues globally on transactions, methodology/tool development, and other strategic initiatives

**Your skills and experience**

**Education and Experience**:

- Masters in Mathematics / Statistics / Econometrics/ PGDM/ MBA
- Solid mathematical skills including probability and statistics
- Strong derivative product knowledge across all asset classes and knowledge of financial markets, traded products, and risk concepts
- Good understanding of counterparty credit risk both on trade and portfolio level

**Competencies**:

- Strong analytical skills and attention to details
- Excellent interpersonal and analytical skills & a team player
- Experienced in methodology development for financial products and ability to communicate technical documents to non-technical audiences
- Understanding of various pricing models
- Strong mathematical and statistical background but able to simplify complex concepts for a non-technical audience
- Good to have: Programming skills using SAS / VBA / Python
- Ability to multi-task and prioritize resources among various projects
- Excellent communication skills, both written and oral
- Able to work under pressure and to a tight deadlines

**How we’ll support you**
- Training and development to help you excel in your career
- Coaching and support from experts in your team
- A culture of continuous learning to aid progression
- A range of flexible benefits that you can tailor to suit your needs

**About us and our teams**

Our values define the working environment we strive to create - diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.