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Assistant Vice President – Credit Risk Modelling – Investment Bank

Mumbai, Maharashtra

Black Turtle

Job Description

Strong experience/knowledge in at least some of the following areas (in quant space):

- Counterparty Credit Risk

- Pricing and valuation - Derivatives (across one or more asset classes)

- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)

- Credit Portfolio Modelling - Default and Migration Risk

- Risk Scenarios and Stress Testing

- Regulatory framework and rules (e.g. BASEL, CCAR etc.)

- AIRB - LGD, PD and CCF Modelling

- Back-Testing and Monte-Carlo Methodologies

- Strong Quant skills and aptitude - We expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas

- Good technical skills - exposure/hands on to at least one of the below programming language/database:

Programming and Algorithms: R, Python, Java, C++, Matlab, VBA etc.

Database and SQL: MS Access, MySQL, Oracle etc.

- Advanced degree in finance, mathematics, econometrics, engineering or other quantitative subject. Candidates from other streams who are able to demonstrate good conceptual understanding and are willing to understand the Credit Risk Models in depth are welcome to apply as well

- Good Communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation

- Team management experience might be required/advantageous (depending on the specific role requirement).

Company Description

BLACK TURTLE is a premier talent management consultancy firm. The Indian arm was established... in the year 2000. Since then the unit has grown manifold and is ranked among the Top 10 across various services and functions.

BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
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Additional Information

Last updated:
Job type:
Full time
Position type:
Minimum experience:
Between five and ten years
Compulsory Education
Jobs in Banking / Financial Services
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