Quant Analyst/Associate Vice President - Counterparty Credit Risk

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

Accountabilities

- Design analytics and modelling solutions to complex business problems using domain expertise.

- Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.

- Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.

- Implementation of analytics and models in accurate, stable, well-tested software and work with technology to operationalise them.

- Provision of ongoing support for the continued effectiveness of analytics and modelling solutions to users.

" AVP Quantitative Analytics CCR Modeler " 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