AVP Quantitative Analytics CCR Modeler
1 day ago
Join us as a " AVP Quantitative Analytics CCR Modeler at Barclays Quantitative Analytics Team where you'll spearhead the evolution of our digital landscape, driving innovation and excellence. You'll harness cutting-edge technology to revolutionize our digital offerings, ensuring unapparelled customer experiences.
You will be responsible for developing best in class credit risk models using industry leading model development frameworks & methodologies, work in a global quant team, with regulators across the world and cutting-edge technology.
You may be assessed on the key critical skills relevant for success in role, such as experience with end-to-end model development , experience on coding languages like Python OR R OR C++, as well as job-specific skillsets.
To be successful as a " AVP Quantitative Analytics CCR Modeler you should have experience with:
- 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
This role is based out of Mumbai.
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