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Job Views:  
166
Applications:  54
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Job Code

1586457

Assistant Vice President - Quantitative Analytics - Model Development

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Black Turtle India Pvt Ltd.3 - 15 Years.Mumbai
Posted 2 weeks ago
Posted 2 weeks ago

Job Description: Assistant Vice President (AVP) - Market Risk

Department: Traded Risk - Market Risk (MR)

Location: Mumbai

Experience: 3-15 years

Role Summary

We seek a dynamic AVP Market Risk professional with deep expertise in quantitative modeling and hands-on technology skills. This role demands a unique blend of market risk methodologies and agile full-stack development capabilities to drive risk model innovation, implementation, and validation. You will collaborate with trading desks, quants, and technology teams to enhance risk frameworks in alignment with Basel III/IV, FRTB, and regulatory standards (e.g., SR 11-7, SS1/23).

Key Responsibilities:

- Develop, validate, and implement risk models (VaR, Expected Shortfall, IRC, CVA/xVA, Stress Testing) using Python/C++.

- Enhance counterparty credit risk (CCR) frameworks, exposure simulation, and back-testing for derivatives portfolios.

- Build scalable solutions for FRTB compliance, Monte Carlo simulations, and risk factor modeling (rates, FX, credit, equities, commodities).

- Collaborate with desk quants/traders to integrate pricing models (Black-Scholes, numerical methods) into risk infrastructure.

- Optimize economic capital calculations, scenario analysis, and regulatory reporting (Basel).

- Conduct model validation, performance testing, and documentation per SR 11-7 guidelines.

- Mentor junior team members in agile development practices and risk analytics.

Mandatory Skills & Experience:

1. Risk/Finance/Quant Expertise (All are essential):

Modeling: Proven hands-on experience in - 3 of:

- Counterparty Credit Risk (CCR) | Derivative Pricing (Swaps, Options, Futures, Credit Derivatives)

- Market Risk (VaR, ES, FRTB, Basel) | Model Development/Validation (core)

- Statistical Modeling | Monte Carlo Simulation | Exposure Modeling | CVA/xVA

Risk Techniques:

- Back-testing | Incremental Risk Charge (IRC) | Economic Risk Capital

- Risk Factor Modeling (Rates, FX, Credit, Equities, Commodities) | Stress Testing

Asset Classes:

- Derivatives (Swaps, Options, Futures, Credit Derivatives) & Cash Products across Rates, FX, Credit, Equities, Commodities.

2. Technology Expertise (Daily hands-on coding required):

- Languages: Expert proficiency in Python and C/C++ (non-negotiable).

- Development: Full-stack/agile development experience (CI/CD, testing, deployment).

- Database: SQL/NoSQL for large-scale risk data.

- Secondary Tools: R, MATLAB, Numerix (acceptable only if paired with Python/C++).

3. Domain Knowledge (Practical application required):

- FRTB | Basel III/IV | SR 11-7 | SS1/23 | Black-Scholes | Numerical Analysis

- Back-testing/P&L Explain | Desk Quant Collaboration | Pricing Model Integration

Qualifications

Education:

- Master's/PhD in Statistics, Mathematics, Physics, Engineering, Financial Engineering, Econometrics, Computer Science, or Quantitative Finance.

Certifications (Preferred):

- FRM (GARP) | PRM | CQF | AI/ML Certifications | Advanced Coding Certifications.

- Note: MBAs must demonstrate strong technical modeling/coding skills. Purely non-technical MBAs are not eligible.

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Job Views:  
166
Applications:  54
Recruiter Actions:  51

Job Code

1586457

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