WCR - Quantitative Research Associate
Mumbai, Maharashtra, India
INR 1400K-2300K (estimate) Mid-level Full Time
Tasks
- Analyze margin changes across global CCPs
- Backtest counterparty credit risk metrics
- Build statistical models for counterparty credit risk
- Deliver results through dashboards
- Deploy models to front end solutions
- Develop scenario design and monitoring
- Develop software framework in Python
- Manage RNIS framework for risks not captured in stress
- Manage SSE framework enhancements
- Monitor CCP metrics
- Partner with model governance teams
- Perform margin backtesting
- Quantify risk driver impact not in stress
Perks/Benefits
- N/A
Skills/Tech-stack
C++ | Central Counterparty | Counterparty Credit | Counterparty Credit Risk | Credit Risk | Dashboards | Financing transactions | Futures and options | OTC Derivatives | Python | Quantitative Research | R | Risk Modeling | Securities Financing | Securities financing transactions | Statistical modeling | Stress Testing | Value-at-Risk
Education
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