Quant Model Risk Analyst/Associate - Counterparty Credit Risk

About the role

As a Quant Modelling Analyst/Associate you will be a member of the Model Risk Governance and Review group in Bengaluru covering Counterparty Credit Risk models where you will have exposure to multiple assets classes, collateral modelling, advanced modelling methodologies as wells as day-to-day interaction with Quantitative Research teams, Risk functions and trading desks.

What you'll do

• Model validation of trading models/pricers used in XVA, Counterparty Credit Exposure and IMM/Capital calculations and regulatory stress testing
• Perform assessments of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose
• Assess completeness of testing performed to support the correctness of the implementation
• Perform ongoing performance monitoring tests and regulatory/non-regulatory back testing to ascertain that models are relevant and fit for purpose
• Assist with model governance processes, model inventory and issue management and help to devise new model governance policies as and when required

What you need

• Credit risk
• Valuation
• Risk management
• Statistics
• Forecasting
• Python
• B.Sc or B.Tech or B.E.

Good to have

• Performance testing