skillindiajobs
Register for Job
Hyderabad Jobs
Banglore Jobs
Chennai Jobs
Delhi Jobs
Ahmedabad Jobs
Mumbai Jobs
Pune Jobs
Vijayawada Jobs
Gurgaon Jobs
Noida Jobs
Oil & Gas Jobs
Banking Jobs
Construction Jobs
Top Management Jobs
IT - Software Jobs
Medical Healthcare Jobs
Purchase / Logistics Jobs
Sales
Ajax Jobs
Designing Jobs
ASP .NET Jobs
Java Jobs
MySQL Jobs
Sap hr Jobs
Software Testing Jobs
Html Jobs
IT Jobs
Logistics Jobs
Customer Service Jobs
Airport Jobs
Banking Jobs
Driver Jobs
Part Time Jobs
Civil Engineering Jobs
Accountant Jobs
Safety Officer Jobs
Nursing Jobs
Civil Engineering Jobs
Hospitality Jobs
Part Time Jobs
Security Jobs
Finance Jobs
Marketing Jobs
Shipping Jobs
Real Estate Jobs
Telecom Jobs

Counterparty Risk/xVA Quant Role

2.00 to 5.00 Years   Pune   17 May, 2023
Solytics Partners
Job LocationPune
EducationNot Mentioned
SalaryNot Disclosed
IndustryIT - Software
Functional AreaGeneral / Other SoftwareRisk / Underwriting
EmploymentTypeFull-time

Job Description

    Company Profile: Solytics Partners provide products and services to BFSI and Healthcare firms. We use AI/ML & cutting-edge technology to develop next generation solutions or provide efficient services. We have strong team of PHDs in AI/ML and experts in BFSI, and healthcare industry. Our regulatory compliant solutions and services enable leading financial institutions and corporations to create and sustain competitive advantage.Job Title: Counterparty Risk/xVA Quants Location: Pune Experience: 2-5 Years Education Qualification: Masters/Ph.D. in (Mathematics, Statistics, Financial Engineering, Economics, Actuarial, MBA or Quantitative discipline). CQF/FRM/CFA would be a plus. Role Type: Permanent or Contract Solytics is seeking a strong Counterparty Credit Risk professionals to be a member of Model Risk Management (MRM) team focussed on the developing, review, validation and risk assessment of Counterparty Risk, xVA pricing models under various regulatory regimes e.g. Basel-3, Dodd-frank etc. Candidate must have relevant experience in statistical modelling, simulations, quantitative research, stochastic calculus, and practical understanding on Standard and Advanced approaches for xVA capital charges. Responsibilities:- Conducting model development, independent reviews/validation of the models and methodologies for Counterparty Credit Risk, xVA, PD and changes to existing models- Work with the internal team on some of the niche area in designing analytical framework, automation solutions for xVA risk and pricing models using advanced Statistical and Mathematical concepts/toolkits, and open source like Python, R, Spark, and AWS- Write model risk management technical documents (validation report, development and monitoring report) that will be presented to clients stakeholders and respective regulators- Provide subject matter expertise and support business- Deliver high quality client services, including work products, within expected timeframe and budget- Develop and maintain effective relationships with clients and team members- Participate in large scale client engagements/projects, meetings, PoC- s, RFPs etc. Key Skills: - Minimum 2 years of Financial services experience in Counterparty Risk and xVA developments- Experience in validating/developing/review of EPE, PFE, EE, CVA, DVA, FVA, VaR, EAD, PD etc.- Experience in developing/validating methodology for quantitative analyses required under various applicable work streams e.g. Netting, Closeouts, Collateral and Funding mechanics, Capital calculations etc.- Deep understanding of various derivatives and exotic (Swaps/Swaption, Equities, IR/FX products etc.,) Pricing theories (Black Scholes, Stochastic calculus, Financial Mathematics, Itos lemma, Statistics, Linear Algebra, Probability theory, Statistical distributions etc.)- Solid understanding of interest rate curve construction/IR calibration, volatility models- Hands-on experience on simulations, stability of model outcomes benchmarking, stress testing, scenario and sensitivity analysis.- Good knowledge of Numeric, Murex, Python/R, SQL etc.,,

Keyskills :
credit risklinear algebrastress testingsubject matter expertise

APPLY NOW

Counterparty Risk/xVA Quant Role Related Jobs

© 2020 Skillindia All Rights Reserved