Manager

Hiring for one of the Big 4 ( Counterparty Credit Risk - Market Risk ) Location : Pan India Job Role: The Candidate will be performing duties related to all aspects of Counterparty Credit risk Domain including but not limited to supporting our clients in counterparty credit risk management, CCR exposure model development, Validation and monitoring, Derivatives Pricing, Key Skills Experience in validating the quantitative and mathematical models for the CCR/XVAs Experience with models like Hull & White 1F/2F, SABR, Local Volatility, etc. Have a good understanding of risk simulation under IMM and derivative pricing models Able to demonstrate SME skills on either of SA-CCR, SA-CVA, CEM and IMM- Monte carlo simulation Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc Understanding of Valuation adjustments such as CVA, DVA, FVA etc Deep Understanding of various derivatives and exotics (Black Scholes, Stochastic calculus etc) Hands on experience of python in model development/validation role Understanding of Collateral Modelling for Variation Margin and Initial Margin Good understanding of concepts in Advance Mathematics/Statistical Analysis such as Stochastic Calculus, Probability is a must. Education Background: - PhD./ BSc. / MSc. in Mathematics, Statistics is preferred.

Commerce Graduates/ MBA in Finance with certificates like CFA/ FRM & CQF can be considered