Asst Risk Consulting Assc
8h ago

Enterprise Risk Solutions (ERS)

  • Participate in Quantitative Risk engagements / advisory projects with a Market Risk focus. Developing and validating derivatives pricing models, risk estimation models, counterparty credit risk models and stress testing models.
  • Travel onsite to client locations and other delivery centres as and when needed
  • Work effectively as a team member sharing responsibility, providing support and updating senior team members on progress
  • Build strong relationship with clients, internal and external
  • Develop deep understanding of derivatives pricing models, risk estimation models, XVA and Counterparty Credit Risk(CCR) models
  • Understand regulatory guidelines and advise clients on their implementation Basel II.5, FRTB, CCAR, Stress Testing
  • Participate in brainstorming sessions and propose hypothesis, approaches, & techniques
  • Write white papers on specific topics / research ideas
  • Help in business development
  • Required

  • 2-4 years of relevant experience in any of the following topics : Derivatives pricing, Basel II.5, FRTB, CCAR, Stress Testing, XVA, CCR.
  • Understanding of broad risk regulatory landscape development & validation

  • Understanding of model risk management guidelines and standards (SR11-7)
  • Strong academic background including a Master’s degree (Computational Finance / Statistics / Mathematics / Econometrics) or equivalent would be preferred.
  • Engineering graduates from premier institutions like an IIT or NIT with relevant work experience are also encouraged to apply.
  • Knowledge of quantitative methods time series analysis, PDE, stochastic calculus
  • Strong problem solving and technical skills
  • Programming skills : C++ or Java / any object oriented language, R, Matlab, Python
  • Strong verbal and written communication skills
  • Certifications such as CQF, FRM and CFA will be a plus
  • Apply
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