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Assistant Vice President - QA - Counterparty Credit Risk

0 years

0 Lacs

mumbai maharashtra india

Posted:4 days ago| Platform: Foundit logo

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Skills Required

exposure collateral modelling commodities eppe interest rates monte carlo simulation greeks back-testing basel framework cva credit pfe equities numerical analysis imm models epe risk factor modelling derivatives pricing stress testing scenarios sa-ccr

Work Mode

On-site

Job Type

Full Time

Job Description

Join us as an Assistant Vice President - QA - Counterparty Credit Risk 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.
To be successful as an Assistant Vice President - QA - Counterparty Credit Risk ,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.
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 C++, as well as job-specific skillsets.This role is based out of Mumbai.

Purpose of the role

To design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making

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