Quant Analytics Counterparty Credit Risk (CCR)

Barclays

14 - 16 years

3 - 7 Lacs

Mumbai Maharashtra India

Posted:1 day ago| Platform: Foundit logo

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Skills Required

model development regulatory frameworks Ccr model validation Statistics

Work Mode

On-site

Job Type

Full Time

Job Description

To be successful as a Quant Analytics Counterparty Credit Risk (CCR) - Vice President 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)
Experience in Stress Testing/Scenarios Modelling), Model Development and/or Model Validation (core development experience), Statistical Modelling (preferably for Wholesale credit book), Regulators and regulatory frameworks, Stakeholders - Model Owners, Audit, Validation
Advanced Technical Degree (Masters / PhD / similar or equivalents) - Statistics, Engineering, Numerical Analysis, Mathematics, Physics, Econometrics, Financial Engineering, Computer Science, Financial Mathematics.

Some good to have skills may include:

Certification - GARP-FRM, PRM, CQF, AI/ML Courses, Coding and Computer Programming.
Experience with R, MATLAB, Numerix etc. (The role require hands-on in coding as a full stack/agile developer), Database skills.
Experience with Stakeholder management, leadership, and decision-making to support business strategy and risk management.

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen strategic thinking and digital and technology, as well as job-specific technical skills.

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