AVP Quantitative Analytics CCR Modeler
Mumbai, Nirlon Knowledge Park (BX) 9th & 11-12 floor, India
INR 2000K-3000K (estimate) Executive-level Full Time
Tasks
- Collaborate with technology and validation teams
- Conduct model development and validation
- Design analytics and modeling solutions
- Develop credit risk models
- Develop exposure collateral and counterparty risk models
- Develop statistical and machine learning models
- Ensure model risk policy compliance
- Implement analytics in tested software
- Operationalize analytics and models
- Perform risk factor modeling
- Perform stress testing and scenario modeling
- Price derivatives and compute Greeks
- Provide ongoing model support
- Run back testing and numerical analysis
Perks/Benefits
- N/A
Skills/Tech-stack
Backtesting | Basel framework | C++ | CVA | Collateral modeling | Commodity risk | Commodity risk modeling | Counterparty Credit Risk | Credit Risk | Credit risk modeling | Derivatives pricing | EPE | EPPE | Equity Risk | Equity risk modeling | Exposure modeling | Factor modeling | Greeks | IMM Models | Interest Rate | Interest rate models | Machine Learning | Model Risk Management | Model Validation | Model risk | Monte Carlo | Monte Carlo Simulation | Numerical analysis | Potential Future Exposure | Python | Risk Management | Risk Modeling | Risk factor modeling | SA-CCR | Scenario Modeling | Statistical modeling | Stress Testing
Education
N/A
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